Gresham Capital CLO IV B.V. - Irish Stock Exchange

Gresham Capital CLO IV B.V. 

(a private company with limited liability incorporated under the laws of The Netherlands, having its statutory seat in Amsterdam) 

Up to €75,000,000 Class A1A Senior Secured Floating Rate Variable Funding Notes due 2023* 

€75,000,000 Class A1B Senior Secured Floating Rate Notes due 2023 

€48,800,000 Class A2 Senior Secured Floating Rate Notes due 2023 

€24,130,000 Class B Deferrable Secured Floating Rate Notes due 2023 

€21,900,000 Class C Deferrable Secured Floating Rate Notes due 2023 

€22,020,000 Class D Deferrable Secured Floating Rate Notes due 2023 

€10,780,000 Class E Deferrable Secured Floating Rate Notes due 2023 

€32,800,000 Class N Subordinated Notes due 2023 

*The amount of €75,000,000 comprised in the Class A1A Senior Secured Floating Rate Variable Funding Notes is the total commitment as at the Issue Date 

(with any Sterling denominated commitment being converted into Euro at the Issue Date Spot Rate). 

The Notes are secured by a portfolio of senior secured loans and certain other assets. 

Gresham Capital CLO IV B.V. (the “Issuer”) issued on the Issue Date up to €75,000,000 Class A1A Senior Secured Floating Rate Variable Funding Notes due 2023 (the 

“Class A1A Notes”), €75,000,000 Class A1B Senior Secured Floating Rate Notes due 2023 ((including any Class A1B Refinancing Notes issued as described herein), the 

“Class A1B Notes”), €48,800,000 Class A2 Senior Secured Floating Rate Notes (the “Class A2 Notes”, and together with the Class A1A Notes and the Class A1B Notes, 

the “Class A Notes” or “Senior Notes”), €24,130,000 Class B Deferrable Secured Floating Rate Notes due 2023 (the “Class B Notes”), €21,900,000 Class C Deferrable 

Secured Floating Rate Notes due 2023 (the “Class C Notes”), €22,020,000 Class D Deferrable Secured Floating Rate Notes due 2023 (the “Class D Notes”), €10,780,000 

Class E Deferrable Secured Floating Rate Notes due 2023 (the “Class E Notes”) and €32,800,000 Class N Subordinated Notes due 2023 (the “Class N Notes”). The 

Senior Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are together the “Rated Notes” and the Rated Notes together with the Class 

N Notes are the “Notes” and any one class of Notes being a “Class”. 

The Notes were issued and are secured pursuant to a trust deed (the “Trust Deed”) dated on or about the Issue Date between the Issuer and The Law Debenture Trust 

Corporation p.l.c. as trustee (the “Trustee”) as amended and supplemented. The terms and conditions of the Notes (the “Conditions”) are set out herein under 

“Conditions of the Notes”. The collateral securing the Notes is managed by Investec Principal Finance, a business unit division of Investec Bank (UK) Ltd. (the 

“Collateral Manager”). 

The aggregate principal amount outstanding under the Class A1B Notes and the Class A2 Notes together with the aggregate of all principal amounts drawn and 

any amount available for drawing under the Class A1A Notes shall at no time exceed €198,800,000 (converting any Sterling drawing under the Class A1A Notes 

into Euro using the Issue Date Spot Rate). 

It was a condition to the issuance of the Notes that the Notes of each Class (other than the Class A1B Refinancing Notes) be issued concurrently. It was a condition to the 

issuance and sale of the Notes that the Notes (except for the Class N Notes) be issued with at least the following ratings: the Senior Notes: “AAA” by Fitch Ratings Ltd. 

(“Fitch”) and “AAA” by Standard and Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”), the Class B Notes: “AA” by Fitch and “AA” by S&P, the Class 

C Notes: “A” by Fitch and “A” by S&P, the Class D Notes: “BBB” by Fitch and “BBB” by S&P, the Class E Notes: “BB” by Fitch and “BB” by S&P. The Class N 

Notes are not rated. A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision, suspension or withdrawal at any time 

by the applicable rating agency. 

Interest on the Notes (other than the Class A1A Notes and the Class A1B Refinancing Notes) accrues on the outstanding principal balance thereof from the Issue Date. 

Interest on the Class A1A Notes and the Class A1B Refinancing Notes accrues as described in the “Conditions of the Notes”. Interest in respect of the Notes (other than 

the Class A1A Notes and the Class A1B Refinancing Notes) is payable semi-annually in arrear on the 18 th day of January and July of each year (or, if not a Business Day, 

on the next succeeding Business Day) commencing with 18 January 2008, at maturity and upon any redemption of such Notes (each a “Payment Date”). Interest on the 

Class A1A Notes and the Class A1B Refinancing Notes is payable as described in the “Conditions of the Notes”. The Class A1B Notes, Class A2 Notes, Class B Notes, 

Class C Notes, Class D Notes and Class E Notes bear interest at a rate equal to Applicable EURIBOR plus the relevant margin referred to herein. The Class A1A Notes 

and the Class N Notes bear interest as described in more detail in “Conditions of the Notes”. 

Application has been made to the Irish Financial Services Regulatory Authority (“IFSRA”) as the competent authority under EU Directive 2003/71/EC, for the prospectus 

to be approved. Application has been made to the Irish Stock Exchange Limited (the “Irish Stock Exchange”) for each Class of Notes to be admitted to the Official List 

and trading on its regulated market. This Prospectus constitutes a “prospectus” for the purposes of EU Directive 2003/71/EC. 

The Class E Notes and the Class N Notes are designated for trading in The Private Offering, Resale and Trading Automatic Linkages (“PORTAL”) market. 

SEE “RISK FACTORS” IN THIS PROSPECTUS FOR A DESCRIPTION OF CERTAIN FACTORS THAT SHOULD BE CONSIDERED BY PROSPECTIVE 

INVESTORS IN CONNECTION WITH AN INVESTMENT IN ANY OF THE NOTES. 

The net proceeds of the offering of the Notes were applied by the Issuer in purchasing a diversified portfolio of assets which are required to satisfy the eligibility criteria 

specified below in “Description of the Portfolio” and certain other rights as described herein. Security has been and will be created over the Collateral Debt Securities and 

certain of the Issuer’s other assets in favour of the Trustee for the benefit of the holders of the Notes and certain other secured creditors described herein. The Notes are 

limited recourse debt obligations of the Issuer. The Collateral Debt Securities and certain other assets of the Issuer secured in favour of the Trustee are the sole source of 

payments on the Notes. 

THE NOTES DO NOT REPRESENT AN INTEREST IN, OR OBLIGATIONS OF, AND ARE NOT INSURED OR GUARANTEED BY, THE TRUSTEE, THE 

PAYING AGENTS, THE TRANSFER AGENTS, THE REGISTRAR, ANY OF THE NOTEHOLDERS, THE COLLATERAL MANAGER, THE INITIAL 

HEDGE COUNTERPARTY, ANY OTHER HEDGE COUNTERPARTIES, THE CAPITAL COMMITMENT REGISTRAR, THE LIQUIDITY FACILITY 

PROVIDER OR ANY OF THEIR RESPECTIVE AFFILIATES. 

THE NOTES OFFERED HEREBY HAVE NOT BEEN, AND WILL NOT BE, REGISTERED UNDER THE UNITED STATES SECURITIES ACT OF 1933, AS 

AMENDED (THE “SECURITIES ACT”), OR THE SECURITIES LAWS OF ANY STATE OF THE UNITED STATES OR ANY OTHER RELEVANT 

JURISDICTION. THE ISSUER HAS NOT BEEN AND WILL NOT BE REGISTERED UNDER THE UNITED STATES INVESTMENT COMPANY ACT OF 1940, 

AS AMENDED (THE “INVESTMENT COMPANY ACT”), BY REASON OF THE EXCEPTION CONTAINED IN SECTION 3(c)(7) THEREOF. THE NOTES ARE 

OFFERED HEREBY (I) IN THE UNITED STATES TO PERSONS WHO ARE BOTH QUALIFIED INSTITUTIONAL BUYERS (AS DEFINED IN RULE 144A 

UNDER THE SECURITIES ACT) AND QUALIFIED PURCHASERS (FOR PURPOSES OF THE INVESTMENT COMPANY ACT) (THE “RULE 144A NOTES”) 

AND (II) OUTSIDE THE UNITED STATES TO PERSONS WHO ARE NEITHER U.S. PERSONS (AS DEFINED IN REGULATION S UNDER THE SECURITIES 

ACT) NOR U.S. RESIDENTS (AS DETERMINED FOR THE PURPOSES OF THE INVESTMENT COMPANY ACT) IN OFFSHORE TRANSACTIONS IN 

RELIANCE ON REGULATION S (THE “REGULATION S NOTES”). EACH PURCHASER OF THE NOTES IN MAKING ITS PURCHASE WILL BE DEEMED 

TO HAVE MADE CERTAIN ACKNOWLEDGEMENTS, REPRESENTATIONS AND AGREEMENTS AS SET FORTH UNDER “PLAN OF DISTRIBUTION AND 

TRANSFER RESTRICTIONS”. PROSPECTIVE PURCHASERS ARE HEREBY NOTIFIED THAT THE SELLER OF THE NOTES MAY BE RELYING ON THE 

EXEMPTION FROM THE PROVISIONS OF SECTION 5 OF THE SECURITIES ACT PROVIDED BY RULE 144A. THE NOTES ARE SUBJECT TO OTHER 

RESTRICTIONS ON TRANSFERABILITY AND RESALE AS SET FORTH IN “PLAN OF DISTRIBUTION AND TRANSFER RESTRICTIONS”. 

Arranger and Initial Purchaser 

Dresdner Kleinwort 

18 July 2007

Save as provided below with respect to the Class A1A Notes, Regulation S Notes of each Class are each 

represented on issue by beneficial interests in one or more global certificates of such Class (each a “Regulation 

S Global Note”) in fully registered form, without interest coupons or principal receipts, which were deposited 

on or about the Issue Date with Euroclear Bank N.V./S.A. as operator of the Euroclear System (“Euroclear”) 

and Clearstream Banking, société anonyme (“Clearstream, Luxembourg”). Save as provided below with 

respect to the Class A1A Notes, Rule 144A Notes of each Class are represented on issue by beneficial interests 

in one or more global certificates of such Class (each a “Rule 144A Global Note”), in fully registered form, 

without interest coupons or principal receipts, which were deposited on or about the Issue Date with a custodian 

for, and registered in the name of, The Depository Trust Company (“DTC”) or its nominee. Ownership 

interests in the Regulation S Global Notes and the Rule 144A Global Notes (together, the “Global Notes”) are 

shown on, and transfers thereof will only be effected through, records maintained by Euroclear, Clearstream, 

Luxembourg and DTC and their respective participants. Until and including the 40th day after the later of the 

commencement of the offering and the closing of the offering of the Notes (the “Distribution Compliance 

Period”), beneficial interests in a Regulation S Global Note may be held only through Euroclear or Clearstream, 

Luxembourg. Notes in definitive certificated form will be issued only in limited circumstances. See “Form of 

the Notes” and “Book Entry Clearance Procedures” below. 

The Class A1A Notes are represented by one or more registered notes in definitive form issued pursuant to, 

and in the circumstances specified in, the Class A1A Note Purchase Agreement and sold in reliance on 

Regulation S or Rule 144A, and substantially in the form as set out in the Trust Deed in the applicable Minimum 

Denominations and integral multiples in excess of the applicable Authorised Denomination. 

Except for the information contained in this Prospectus in the section headed “Description of the Collateral 

Manager”, the Issuer accepts responsibility for the information contained in this Prospectus. To the best of the 

knowledge and belief of the Issuer (who has taken all reasonable care to ensure that such is the case) the 

information contained in this document is in accordance with the facts and does not omit anything likely to 

affect the import of such information. 

The Collateral Manager accepts responsibility for the information contained in this Prospectus in the section 

headed “Description of the Collateral Manager” to the extent that it is correct to the best of its knowledge as at 

the Issue Date. To the best of the knowledge and belief of the Collateral Manager (the Collateral Manager 

having taken all reasonable care to ensure that such is the case), the information in respect of which it accepts 

responsibility is in accordance with the facts and does not omit anything likely to affect the import of such 

information. The Collateral Manager does not accept any responsibility for the accuracy and completeness of 

any other information contained in this Prospectus nor otherwise for the structuring and operation of any 

arrangements relating to the Notes (save in its capacity as the Collateral Manager) referred to herein. 

Save, in the case of the Collateral Manager, for the section described immediately above in respect of the 

Collateral Manager, none of Dresdner Bank AG London Branch, in its capacity as arranger (the “Arranger”) 

and as initial purchaser of the Notes (the “Initial Purchaser”), the Trustee, the Collateral Manager, The Bank of 

New York (the “Initial Hedge Counterparty”), the Collateral Administrator, the Capital Commitment 

Registrar, the Liquidity Facility Provider, the Custodian, the Account Bank, the Paying Agents, the Registrar, 

the Transfer Agents, any Class A1A Noteholders or any Affiliate of any of them has separately verified the 

information contained in this Prospectus and accordingly none of the Arranger, the Initial Purchaser, the 

Trustee, the Collateral Manager, the Initial Hedge Counterparty, the Collateral Administrator, the Capital 

Commitment Registrar, the Liquidity Facility Provider, the Custodian, the Account Bank, the Paying Agents, 

the Registrar, the Transfer Agents, any Class A1A Noteholder or any Affiliate of any of them makes any 

representation, recommendation or warranty, express or implied, regarding the accuracy, adequacy, 

reasonableness or completeness of the information contained in this Prospectus or in any further information, 

notice or other document which may at any time be supplied in connection with the Notes or their distribution or 

accepts any responsibility or liability therefor. Each person receiving this Prospectus acknowledges that such 

person has not relied on the Arranger, the Initial Purchaser, the Trustee, the Collateral Manager, the Initial 

Hedge Counterparty, the Collateral Administrator, the Capital Commitment Registrar, the Liquidity Facility 

Provider, the Custodian, the Account Bank, the Paying Agents, the Registrar, the Transfer Agents, any Class 

A1A Noteholder or any Affiliate of any of them in connection with its investigation of the accuracy of such 

information or its investment decision. 

Each person contemplating making an investment in the Notes must make its own investigation and 

analysis of the creditworthiness of the Issuer and its own determination of the suitability of any such investment, 

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with particular reference to its own investment objectives and experience and any other factors which may be 

relevant to it in connection with such investment. 

This Prospectus does not constitute an offer of, or an invitation by or on behalf of, the Issuer, the Initial 

Purchaser, or any Affiliate of the Initial Purchaser to subscribe for or purchase, any of the Notes in any 

jurisdiction to any person to whom it is unlawful to make such an offer or invitation in such jurisdiction. 

The distribution of this Prospectus and the offering of the Notes in certain jurisdictions may be restricted by 

law. For a description of certain restrictions on offers and sales of Notes and the distribution and issue of this 

Prospectus and other documents, see “Plan of Distribution and Transfer Restrictions” below. 

In connection with the issue and sale of the Notes, no person is authorised to give any information or to 

make any representation not contained in this Prospectus and, if given or made, such information or 

representation must not be relied upon as having been authorised by or on behalf of the Issuer, the Initial 

Purchaser or Affiliates of the Initial Purchaser. The delivery of this Prospectus at any time does not imply that 

the information contained in it is correct as at any time subsequent to its date. 

THE NOTES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE UNITED STATES 

SECURITIES AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION OR 

OTHER REGULATORY AUTHORITY, AND NONE OF THE FOREGOING AUTHORITIES HAS 

CONFIRMED THE ACCURACY OR DETERMINED THE ADEQUACY OF THIS PROSPECTUS. 

ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENCE. 

THE NOTES CANNOT BE OFFERED OR SOLD IN THE UNITED STATES OR TO U.S. PERSONS 

UNLESS THEY ARE REGISTERED UNDER THE SECURITIES ACT AND APPLICABLE STATE 

SECURITIES LAWS OR AN EXEMPTION FROM SUCH REGISTRATION IS AVAILABLE. FOR A 

DESCRIPTION OF CERTAIN RESTRICTIONS ON RESALE AND TRANSFER, SEE “PLAN OF 

DISTRIBUTION AND TRANSFER RESTRICTIONS”. 

NOTICE TO NEW HAMPSHIRE RESIDENTS 

NEITHER THE FACT THAT A REGISTRATION STATEMENT OR AN 

APPLICATION FOR A LICENSE HAS BEEN FILED UNDER NEW HAMPSHIRE 

REVISED STATUTES ANNOTATED, CHAPTER 421-B (“RSA 421-B”), WITH THE 

STATE OF NEW HAMPSHIRE NOR THE FACT THAT A SECURITY IS 

EFFECTIVELY REGISTERED OR A PERSON IS LICENSED IN THE STATE OF 

NEW HAMPSHIRE CONSTITUTES A FINDING BY THE SECRETARY OF STATE 

OF NEW HAMPSHIRE THAT ANY DOCUMENT FILED UNDER RSA-421 B IS 

TRUE, COMPLETE AND NOT MISLEADING. NEITHER ANY SUCH FACT NOR 

THE FACT THAT AN EXEMPTION OR EXCEPTION IS AVAILABLE FOR A 

SECURITY OR A TRANSACTION MEANS THAT THE SECRETARY OF STATE 

HAS PASSED IN ANY WAY UPON THE MERITS OR QUALIFICATIONS OF, OR 

RECOMMENDED OR GIVEN APPROVAL TO, ANY PERSON, SECURITY, OR 

TRANSACTION. IT IS UNLAWFUL TO MAKE, OR CAUSE TO BE MADE, TO 

ANY PROSPECTIVE PURCHASER, CUSTOMER, OR CLIENT ANY 

REPRESENTATION INCONSISTENT WITH THE PROVISIONS OF THIS 

PARAGRAPH. 

NOTICE TO UNITED KINGDOM INVESTORS 

WITHIN THE UNITED KINGDOM, THIS PROSPECTUS IS DIRECTED ONLY AT PERSONS WHO 

HAVE PROFESSIONAL EXPERIENCE IN MATTERS RELATING TO INVESTMENTS AND WHO 

QUALIFY EITHER AS INVESTMENT PROFESSIONALS IN ACCORDANCE WITH ARTICLE 19(5), OR 

AS HIGH NET WORTH COMPANIES, UNINCORPORATED ASSOCIATIONS, PARTNERSHIPS OR 

TRUSTEES IN ACCORDANCE WITH ARTICLE 49(2) OF THE FINANCIAL SERVICES AND MARKETS 

ACT 2000 (FINANCIAL PROMOTION) ORDER 2005 (TOGETHER, “EXEMPT PERSONS”). IT MAY 

NOT BE PASSED ON EXCEPT TO EXEMPT PERSONS OR OTHER PERSONS IN CIRCUMSTANCES IN 

WHICH SECTION 21(1) OF THE FINANCIAL SERVICES AND MARKETS ACT 2000 DOES NOT APPLY 

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TO THE ISSUER (ALL SUCH PERSONS TOGETHER BEING REFERRED TO AS “RELEVANT 

PERSONS”). THIS PROSPECTUS MUST NOT BE ACTED ON OR RELIED ON BY PERSONS WHO 

ARE NOT RELEVANT PERSONS. ANY INVESTMENT OR INVESTMENT ACTIVITY TO WHICH THIS 

PROSPECTUS RELATES IS AVAILABLE ONLY TO RELEVANT PERSONS AND WILL BE ENGAGED 

IN ONLY WITH RELEVANT PERSONS. ANY PERSONS OTHER THAN RELEVANT PERSONS 

SHOULD NOT ACT OR RELY ON THIS PROSPECTUS. 

NOTICE TO DANISH INVESTORS 

THIS DOCUMENT AND THE NOTES OFFERED HEREIN HAVE NOT BEEN FILED WITH OR 

APPROVED BY THE DANISH FINANCIAL SUPERVISORY AUTHORITY OR ANY OTHER 

REGULATORY AUTHORITY IN THE KINGDOM OF DENMARK NOR DOES THIS DOCUMENT 

CONSTITUTE A PROSPECTUS OR OTHER PROMOTIONAL MATERIAL FOR THE PUBLIC OFFERING 

OF THE NOTES IN ACCORDANCE WITH DANISH LAW. ACCORDINGLY, THE NOTES OFFERED 

HEREIN MAY NOT BE OFFERED OR SOLD, INCLUDING ANY SUBSEQUENT RESALE OR OTHER 

TRANSFER OF THE NOTES, DIRECTLY OR INDIRECTLY, IN DENMARK, NOR MAY THIS 

DOCUMENT BE MARKETED OR DISTRIBUTED IN DENMARK EXCEPT IF IT IS IN COMPLIANCE 

WITH THE DANISH SECURITIES TRADING ACT AND ANY EXECUTIVE ORDERS ISSUED 

THEREUNDER, INCLUDING EXECUTIVE ORDER NO. 306 OF 28 APRIL 2005 AND EXECUTIVE 

ORDER NO. 307 OF 28 APRIL 2005 ON THE FIRST PUBLIC OFFER OF CERTAIN SECURITIES, EACH 

AS AMENDED OR REPLACED FROM TIME TO TIME. 

NOTICE TO FRENCH INVESTORS 

THE NOTES HAVE NOT BEEN AND WILL NOT BE OFFERED OR SOLD TO THE PUBLIC IN 

FRANCE (APPEL PUBLIC Á L’ÉPARGNE), DIRECTLY OR INDIRECTLY, AND NO OFFERING OR 

MARKETING MATERIALS RELATING TO THE NOTES MUST BE MADE AVAILABLE OR 

DISTRIBUTED IN ANY WAY THAT WOULD CONSTITUTE, DIRECTLY OR INDIRECTLY, AN OFFER 

TO THE PUBLIC IN THE REPUBLIC OF FRANCE. 

THE NOTES MAY ONLY BE OFFERED OR SOLD IN THE REPUBLIC OF FRANCE TO 

PROVIDERS OF INVESTMENT SERVICES RELATING TO PORTFOLIO MANAGEMENT FOR THE 

ACCOUNT OF THIRD PARTIES, AND/OR QUALIFIED INVESTORS (INVESTISSEURS QUALIFIÉS) 

AND/OR TO A LIMITED GROUP OF INVESTORS (CERCLE RESTREINT D’INVESTISSEURS), AS 

DEFINED IN AND IN ACCORDANCE WITH ARTICLES L.411-1, L.411-2 AND D.411-1 OF THE 

FRENCH CODE MONÉTAIRE ET FINANCIER. 

ANY CONTACTS WITH POTENTIAL INVESTORS IN FRANCE DO NOT AND WILL NOT 

CONSTITUTE FINANCIAL OR BANKING SOLICITATION (DÉMARCHAGE BANCAIRE OU 

FINANCIER) AS DEFINED IN ARTICLES L.341-1 ET SEQ. OF THE FRENCH CODE MONÉTAIRE ET 

FINANCIER. 

PROSPECTIVE INVESTORS ARE INFORMED THAT: 

(A) THIS PROSPECTUS HAS NOT BEEN SUBMITTED FOR CLEARANCE TO THE FRENCH 

FINANCIAL MARKET AUTHORITY (AUTORITÉ DES MARCHÉS FINANCIERS) AND DOES 

NOT CONSTITUTE AN OFFER FOR SALE OR SUBSCRIPTION OF THE NOTES; 

(B) ANY QUALIFIED INVESTORS (INVESTISSEURS QUALIFIÉS) AS DEFINED UNDER ARTICLE 

D.411-1 I OR II OF THE FRENCH CODE MONÉTAIRE ET FINANCIER, SUBSCRIBING FOR THE 

NOTES, SHOULD BE ACTING FOR THEIR OWN ACCOUNT; AND 

(C) THE DIRECT AND INDIRECT DISTRIBUTION OR SALE TO THE PUBLIC OF THE NOTES 

ACQUIRED BY THEM MAY ONLY BE MADE IN COMPLIANCE WITH ARTICLES L.411-1, 

L.411-2, L.412-1 AND L.621-8 OF THE FRENCH CODE MONÉTAIRE ET FINANCIER. 

NOTICE TO GERMAN INVESTORS 

THE NOTES MAY BE QUALIFIED AS A FOREIGN INVESTMENT FUND SUBJECT TO THE 

GERMAN INVESTMENT ACT (INVESTMENTGESETZ - “INVG”) OF 15 DECEMBER 2003, AS 

AMENDED. NO AUTHORISATION FROM THE GERMAN FEDERAL FINANCIAL SUPERVISORY 

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AUTHORITY (BUNDESANSTALT FÜR FINANZDIENSTLEISTUNGSAUFSICHT - “BAFIN”) HAS BEEN 

OBTAINED IN CONNECTION WITH THE OFFERING AND DISTRIBUTION OF THE NOTES IN THE 

FEDERAL REPUBLIC OF GERMANY. ACCORDINGLY, THE INITIAL PURCHASER HAS AGREED 

THAT THE NOTES MAY NOT BE PUBLICLY OFFERED OR DISTRIBUTED IN OR FROM THE 

FEDERAL REPUBLIC OF GERMANY, AND THE INITIAL PURCHASER HAS AGREED THAT 

NEITHER THIS PROSPECTUS NOR ANY OTHER OFFERING MATERIALS RELATING TO ANY OF 

THE NOTES MAY BE PUBLICLY DISTRIBUTED IN CONNECTION WITH ANY SUCH OFFERING OR 

DISTRIBUTION. THE INITIAL PURCHASER HAS REPRESENTED AND AGREED THAT (A) IT HAS 

NOT PREPARED OR PUBLISHED ANY SELLING PROSPECTUS (VERKAUFSPROSPEKT) WITHIN THE 

MEANING OF THE GERMAN SECURITIES PROSPECTUS ACT (WERTPAPIERPROSPEKTGESETZ – 

“WPPG”) AS OF 22 JUNE 2005, EFFECTIVE AS OF 1 JULY 2005, AS AMENDED, TO BE APPROVED 

BY THE BAFIN AND (B) IT HAS NOT OFFERED OR SOLD OR WILL NOT OFFER OR SELL OR 

PUBLICLY PROMOTE OR ADVERTISE IN THE FEDERAL REPUBLIC OF GERMANY OTHER THAT 

IN COMPLIANCE WITH THE PRIVATE PLACEMENT RULES UNDER THE INVG, IF APPLICABLE, 

AND THE WPPG, OR ANY OTHER LAWS AND REGULATIONS APPLICABLE IN THE FEDERAL 

REPUBLIC OF GERMANY GOVERNING THE ISSUE, OFFERING AND SALE OF SECURITIES. THIS 

PROSPECTUS IS FOR THE RESPECTIVE RECIPIENT ONLY AND MAY NOT IN ANY WAY BE 

FORWARDED TO ANY OTHER PERSON OR TO THE PUBLIC IN GERMANY. ANY ON-SALE OF THE 

NOTES IS ONLY PERMISSIBLE IN ACCORDANCE WITH THE PRIVATE PLACEMENT RULES 

UNDER THE INVG, IF APPLICABLE, AND THE WPPG. ANY USE IN THIS PROSPECTUS OF THE 

TERMS “FUND” OR “INVESTMENT”, OR TERMS WITH SIMILAR MEANINGS, SHOULD NOT BE 

INTERPRETED TO IMPLY THAT THE BAFIN HAS REVIEWED OR GIVEN THEIR APPROVAL TO ANY 

INFORMATION CONTAINED THEREIN. 

NOTICE TO U.S. INVESTORS 

EACH PURCHASER OF NOTES FROM THE INITIAL PURCHASER SOLD IN THE UNITED 

STATES IN RELIANCE ON THE EXEMPTION FROM THE REGISTRATION REQUIREMENTS OF THE 

SECURITIES ACT PROVIDED BY RULE 144A THEREOF, AND EACH SUBSEQUENT PURCHASER 

AND TRANSFEREE, SHALL BE DEEMED TO (I) REPRESENT THAT IT IS BOTH A QUALIFIED 

INSTITUTIONAL BUYER, AS DEFINED IN RULE 144A UNDER THE SECURITIES ACT (A 

“QUALIFIED INSTITUTIONAL BUYER”) AND A QUALIFIED PURCHASER, FOR PURPOSES OF 

THE INVESTMENT COMPANY ACT (A “QUALIFIED PURCHASER”), PURCHASING FOR ITS OWN 

ACCOUNT OR ONE OR MORE ACCOUNTS WITH RESPECT TO WHICH IT EXERCISES SOLE 

INVESTMENT DISCRETION, EACH OF WHICH IS BOTH A QUALIFIED INSTITUTIONAL BUYER 

AND A QUALIFIED PURCHASER, AND IN EACH CASE IS PURCHASING THE NOTES FOR 

INVESTMENT PURPOSES AND NOT WITH A VIEW TO THE RESALE, DISTRIBUTION OR OTHER 

DISPOSITION THEREOF, (II) REPRESENT THAT IT IS NOT (X) A DEALER OF THE TYPE 

DESCRIBED IN PARAGRAPH (A)(1)(II) OF RULE 144A UNLESS IT OWNS AND INVESTS ON A 

DISCRETIONARY BASIS NOT LESS THAN U.S.$25,000,000 IN SECURITIES OF ISSUERS THAT ARE 

NOT AFFILIATED TO IT, (Y) A PARTICIPANT-DIRECTED EMPLOYEE PLAN, SUCH AS A 401(K) 

PLAN, OR ANY OTHER TYPE OF PLAN REFERRED TO IN PARAGRAPH (A)(1)(I)(D) OR (A)(1)(I)(E) 

OF RULE 144A, OR A TRUST FUND REFERRED TO IN PARAGRAPH (A)(1)(I)(F) OF RULE 144A 

THAT HOLDS THE ASSETS OF SUCH A PLAN, UNLESS INVESTMENT DECISIONS WITH RESPECT 

TO THE PLAN ARE MADE SOLELY BY THE FIDUCIARY, TRUSTEE OR SPONSOR OF SUCH PLAN, 

OR (Z) FORMED FOR THE PURPOSE OF INVESTING IN THE ISSUER (EXCEPT WHERE EACH 

BENEFICIAL OWNER OF THE PURCHASER IS A QUALIFIED PURCHASER), (III) REPRESENT THAT 

IT, AND EACH ACCOUNT FOR WHICH IT IS PURCHASING, WILL HOLD AND TRANSFER AT 

LEAST THE MINIMUM DENOMINATION, (IV) ACKNOWLEDGE THAT THE ISSUER MAY RECEIVE 

A LIST OF PARTICIPANTS HOLDING POSITIONS IN ITS SECURITIES FROM ONE OR MORE BOOK- 

ENTRY REGISTRIES AND (V) ACKNOWLEDGE THAT THE NOTES HAVE NOT BEEN AND WILL 

NOT BE REGISTERED UNDER THE SECURITIES ACT AND MAY NOT BE RE-OFFERED, RESOLD, 

PLEDGED OR OTHERWISE TRANSFERRED EXCEPT (1) TO A QUALIFIED PURCHASER THAT THE 

SELLER REASONABLY BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER, PURCHASING FOR 

ITS OWN ACCOUNT OR ONE OR MORE ACCOUNTS WITH RESPECT TO WHICH IT EXERCISES 

SOLE INVESTMENT DISCRETION, EACH OF WHICH IS A QUALIFIED PURCHASER THAT THE 

SELLER REASONABLY BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER, TO WHOM NOTICE 

IS GIVEN THAT THE RESALE, PLEDGE OR OTHER TRANSFER IS BEING MADE IN RELIANCE ON 

AN EXEMPTION FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT AND 

FROM WHICH THE SAME REPRESENTATIONS AND ACKNOWLEDGEMENTS ARE RECEIVED AS 

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GIVEN BY THE PURCHASER IN THIS SENTENCE, NONE OF WHICH IS (X) A DEALER OF THE TYPE 

DESCRIBED IN PARAGRAPH (A)(1)(II) OF RULE 144A UNLESS IT OWNS AND INVESTS ON A 

DISCRETIONARY BASIS NOT LESS THAN U.S.$25,000,000 IN SECURITIES OF ISSUERS THAT ARE 

NOT AFFILIATED TO IT, (Y) A PARTICIPANT-DIRECTED EMPLOYEE PLAN, SUCH AS A 401(K) 

PLAN, OR ANY OTHER TYPE OF PLAN REFERRED TO IN PARAGRAPH (A)(1)(I)(D) OR (A)(1)(I)(E) 

OF RULE 144A, OR A TRUST FUND REFERRED TO IN PARAGRAPH (A)(1)(I)(F) OF RULE 144A 

THAT HOLDS THE ASSETS OF SUCH A PLAN, UNLESS INVESTMENT DECISIONS WITH RESPECT 

TO THE PLAN ARE MADE SOLELY BY THE FIDUCIARY, TRUSTEE OR SPONSOR OF SUCH PLAN, 

OR (Z) FORMED FOR THE PURPOSE OF INVESTING IN THE ISSUER (EXCEPT WHERE EACH 

BENEFICIAL OWNER OF THE PURCHASER IS A QUALIFIED PURCHASER), OR (2) TO A PERSON 

THAT IS NEITHER A U.S. PERSON NOR A U.S. RESIDENT IN AN “OFFSHORE TRANSACTION” IN 

RELIANCE ON REGULATION S. FOR A DESCRIPTION OF THESE AND CERTAIN OTHER 

RESTRICTIONS ON OFFERS AND SALES OF THE NOTES AND DISTRIBUTION OF THIS 

PROSPECTUS, SEE “PLAN OF DISTRIBUTION AND TRANSFER RESTRICTIONS”. 

EACH PURCHASER OF NOTES FROM THE INITIAL PURCHASER SOLD OUTSIDE THE UNITED 

STATES IN RELIANCE ON REGULATION S WILL BE DEEMED TO REPRESENT THAT IT (I) IS 

NEITHER A U.S. PERSON NOR A U.S. RESIDENT, (II) IS AWARE THAT THE SALE TO IT IS BEING 

MADE IN RELIANCE ON AN EXEMPTION FROM THE REGISTRATION REQUIREMENTS OF THE 

SECURITIES ACT PROVIDED BY REGULATION S THEREUNDER, (III) IS ACQUIRING SUCH NOTES 

FOR ITS OWN ACCOUNT OR ONE OR MORE ACCOUNTS WITH RESPECT TO WHICH IT 

EXERCISES SOLE INVESTMENT DISCRETION, NONE OF WHICH IS A U.S. PERSON OR A U.S. 

RESIDENT, AND (IV) IS NOT PURCHASING SUCH NOTES WITH A VIEW TO THE RESALE, 

DISTRIBUTION OR OTHER DISPOSITION THEREOF IN THE UNITED STATES OR TO A U.S. PERSON 

OR A U.S. RESIDENT. 

EACH PERSON RECEIVING THIS PROSPECTUS ACKNOWLEDGES THAT SUCH PERSON HAS 

NOT RELIED UPON THE ISSUER OR THE INITIAL PURCHASER OR ANY OF ITS AFFILIATES IN 

CONNECTION WITH ITS INVESTIGATION OF THE ACCURACY OF THE INFORMATION 

CONTAINED IN THIS PROSPECTUS OR ITS INVESTMENT DECISIONS. 

NEITHER THE ISSUER NOR THE PORTFOLIO HAS BEEN REGISTERED AS AN “INVESTMENT 

COMPANY” UNDER THE INVESTMENT COMPANY ACT, IN RELIANCE ON THE EXCLUSION 

CONTAINED IN SECTION 3(C)(7) THEREOF. NO TRANSFER OF THE NOTES THAT WOULD HAVE 

THE EFFECT OF REQUIRING THE ISSUER OR THE PORTFOLIO TO REGISTER AS AN INVESTMENT 

COMPANY UNDER THE INVESTMENT COMPANY ACT WILL BE PERMITTED. 

THIS PROSPECTUS HAS BEEN PREPARED BY THE ISSUER SOLELY FOR USE IN CONNECTION 

WITH THE OFFERING AND THE LISTING OF THE NOTES DESCRIBED HEREIN (THE “OFFERING”). 

THE ISSUER AND THE INITIAL PURCHASER RESERVE THE RIGHT TO REJECT ANY OFFER TO 

PURCHASE NOTES IN WHOLE OR IN PART FOR ANY REASON, OR TO SELL LESS THAN THE 

STATED INITIAL PRINCIPAL AMOUNT OF ANY CLASS OF NOTES OFFERED HEREBY. THIS 

PROSPECTUS DOES NOT CONSTITUTE AN OFFER TO THE PUBLIC GENERALLY TO SUBSCRIBE 

FOR OR OTHERWISE ACQUIRE THE NOTES. EACH PROSPECTIVE PURCHASER OF THE NOTES 

MUST COMPLY WITH ALL APPLICABLE LAWS AND REGULATIONS IN FORCE IN ANY 

JURISDICTION IN WHICH IT PURCHASES, OFFERS OR SELLS NOTES OR POSSESSES OR 

DISTRIBUTES THIS PROSPECTUS, AND MUST OBTAIN ANY CONSENT, APPROVAL OR 

PERMISSION REQUIRED BY IT FOR THE PURCHASE, OFFER OR SALE BY IT OF THE NOTES 

UNDER THE LAWS AND REGULATIONS IN FORCE IN ANY JURISDICTION TO WHICH IT IS 

SUBJECT OR IN WHICH IT MAKES SUCH PURCHASES, OFFERS OR SALES, AND NEITHER THE 

ISSUER NOR THE INITIAL PURCHASER SHALL HAVE ANY RESPONSIBILITY THEREFOR. 

IRS CIRCULAR 230 LEGEND 

THIS PROSPECTUS WAS NOT INTENDED OR WRITTEN TO BE USED, AND CANNOT BE USED, 

FOR THE PURPOSE OF AVOIDING U.S. FEDERAL, STATE, OR LOCAL TAX PENALTIES. THIS 

PROSPECTUS WAS WRITTEN IN CONNECTION WITH THE PROMOTION OR MARKETING BY THE 

ISSUER, THE INITIAL PURCHASER AND/OR THE ARRANGER OF THE NOTES. EACH HOLDER 

SHOULD SEEK ADVICE BASED ON THEIR PARTICULAR CIRCUMSTANCES FROM AN 

INDEPENDENT TAX ADVISOR. 

7

AVAILABLE INFORMATION 

To permit compliance with Rule 144A under the Securities Act in connection with the sale of the Notes, the 

Issuer is required pursuant to the Trust Deed to furnish, upon request of a holder of a Note, to such holder and a 

prospective purchaser designated by such holder, the information required to be delivered under Rule 

144A(d)(4) under the Securities Act if at the time of the request the Issuer is not a reporting company under 

Section 13 or Section 15(d) of the United States Securities Exchange Act of 1934, as amended (the “Exchange 

Act”), or exempt from reporting pursuant to Rule 12g3 2(b) under the Exchange Act. All information made 

available by the Issuer pursuant to the terms of this paragraph may also be obtained during usual business hours 

free of charge at the office of the Paying Agent in Ireland. 

ENFORCEABILITY OF CERTAIN CIVIL LIABILITIES 

The Issuer is a company with limited liability incorporated under the laws of The Netherlands. All of the 

Managing Directors of the Issuer and the independent auditors named in this Prospectus are resident outside of 

the United States and substantially all of the assets of the Issuer are located outside the United States. It may not 

be possible, therefore, for Noteholders (a) to effect service of process upon certain of the Managing Directors or 

officers of the Issuer or (b) to enforce against any of them in the courts of a foreign jurisdiction judgments of 

courts of the United States predicated upon the civil liability of such persons under the United States securities 

laws. There is also doubt as to the direct enforceability in The Netherlands against any of these persons, in 

original action, or in action for the enforcement of judgments of United States courts, of civil liabilities 

predicated solely upon the federal securities laws of the United States. 

STABILISATION 

In connection with the issue of the Notes, Dresdner Bank AG London Branch (the “Stabilising Manager”) 

(or persons acting on behalf of the Stabilising Manager) may over-allot Notes or effect transactions with a view 

to supporting the market price of the Notes at a level higher than that which might otherwise prevail. However, 

there is no assurance that the Stabilising Manager (or persons acting on behalf of the Stabilising Manager) will 

undertake stabilisation action. Any stabilisation action may begin on or after the date on which adequate public 

disclosure of the terms of the offer of the Notes is made and, if begun, may be ended at any time, but it must end 

no later than the earlier of 30 days after the Issue Date and 60 days after the date of the allotment of the Notes. 

Any stabilisation action or over-allotment shall be conducted by the Stabilising Manager (or persons acting on 

behalf of the Stabilising Manager) in accordance with all applicable laws and rules. 

DEFINED TERMS 

The Index of Defined Terms appearing at the end of this Prospectus contains references to the pages in this 

Prospectus where definitions of capitalised terms used herein can be found. 

Unless otherwise specified or the context requires, references to “Euro”, and “€” are to the currency 

introduced at the start of the third stage of European economic and monetary union pursuant to the Treaty 

establishing the European Community, as amended by the Treaty on European Union, and references to 

“Sterling”, “pounds sterling” and “£” are to the lawful currency for the time being of the United Kingdom. 

The language of the Prospectus is English. Certain legislative references and technical terms have been 

cited in their original language in order that the correct technical meaning may be ascribed to them under 

applicable law. 

8

TABLE OF CONTENTS 

Summary....................................................................................................................................................... 10 

Risk Factors................................................................................................................................................... 27 

Conditions of the Notes.................................................................................................................................. 50 

Use of Proceeds ........................................................................................................................................... 134 

Form of the Notes ........................................................................................................................................ 135 

Book Entry Clearance Procedures ................................................................................................................ 138 

Rating of the Rated Notes ............................................................................................................................ 142 

Description of the Issuer .............................................................................................................................. 144 

Description of the Collateral Manager .......................................................................................................... 147 

Description of the Portfolio.......................................................................................................................... 150 

Description of the Collateral Management Agreement .................................................................................. 179 

Description of the Liquidity Facility Agreement........................................................................................... 182 

Description of the Reports............................................................................................................................ 185 

Description of the Hedge Arrangements ....................................................................................................... 189 

Description of the Class A1A Note Purchase Agreement .............................................................................. 190 

Description of the Accounts ......................................................................................................................... 193 

Tax Considerations ...................................................................................................................................... 198 

ERISA Considerations ................................................................................................................................. 214 

Plan of Distribution and Transfer Restrictions .............................................................................................. 217 

General Information..................................................................................................................................... 226 

Index of Defined Terms ............................................................................................................................... 228 

9

SUMMARY 

This summary does not include all relevant information relating to the transaction described herein, 

particularly with respect to the risks and special considerations involved with such a transaction and is 

qualified in its entirety by reference to the detailed information appearing elsewhere in this Prospectus and the 

related documents referred to herein. Prospective investors are advised to carefully read, and should rely 

solely on, the detailed information appearing elsewhere in this Prospectus relating to the Notes in making their 

investment decision. Capitalised terms not specifically defined in this summary have the meanings set out in 

Condition 1 (Definitions) under “Conditions of the Notes” below. 

The Issuer:............................................... 

Gresham Capital CLO IV B.V. (the “Issuer”), a private company 

with limited liability (besloten vennootschap met beperkte 

aansprakelijkheid) incorporated under the laws of The Netherlands, 

having its registered office at Rivierstaete Building, Amsteldijk 

166, 1079 LH Amsterdam, The Netherlands. 

The entire issued share capital of the Issuer is held by a foundation 

(stichting), Stichting Gresham Capital CLO IV B.V., established 

under the laws of The Netherlands. 

The Issuer has been incorporated for the sole purpose of acquiring 

the Portfolio, issuing the Notes and engaging in certain related 

transactions. 

The Collateral Manager: ......................... 

The Collateral Administrator: .................. 

The Trustee: ............................................ 

Investec Principal Finance, a business unit division of Investec 

Bank (UK) Ltd. (the “Collateral Manager”), manages the 

Portfolio under a collateral management agreement entered into on 

or about 5 July 2007 (the “Issue Date”) between, amongst others, 

the Issuer and the Collateral Manager (the “Collateral 

Management Agreement”). Pursuant to the Collateral 

Management Agreement, the Collateral Manager, amongst other 

things, manages the selection, acquisition and disposal of the 

Collateral Debt Securities and other collateral (including exercising 

rights and remedies associated with the Collateral Debt Securities) 

in accordance with the terms of the Collateral Management 

Agreement. 

Certain administrative functions with respect to the Portfolio, 

including the calculation of the Coverage Tests, the preparation of 

certain reports in respect of the Portfolio, the operation of the 

Accounts and the application of monies in accordance with the 

Priorities of Payment, are performed by Law Debenture Asset 

Backed Solutions Limited (in such capacity, the “Collateral 

Administrator”) under the Collateral Administration Agreement. 

The Law Debenture Trust Corporation p.l.c., acting through its 

office at 100 Wood Street, London EC2V 7EX, will be the trustee 

for the Noteholders (the “Trustee”). 

The Trustee may retire by giving the Issuer not less than three 

months’ written notice or the Trustee may be removed by an 

Extraordinary Resolution of the Controlling Class on not less than 

90 days’ written notice. Any retirement or removal of the Trustee 

shall not be effective until a successor trustee has been appointed. 

Overview of the Notes: ............................ 

The Notes were issued and are secured pursuant to a trust deed (the 

“Trust Deed”) between, amongst others, the Issuer and the Trustee 

dated on or about the Issue Date. 

Up to €75,000,000 Class A1A Senior Secured Floating Rate 

Variable Funding Notes due 2023 (the “Class A1A Notes”); 

10

€75,000,000 Class A1B Senior Secured Floating Rate Notes due 

2023 (including any Class A1B Refinancing Notes issued as 

described herein, the “Class A1B Notes”); 

€48,800,000 Class A2 Senior Secured Floating Rate Notes due 

2023 (the “Class A2 Notes” and, together with the Class A1A 

Notes and the Class A1B Notes, the “Class A Notes” or the 

“Senior Notes”); 

€24,130,000 Class B Deferrable Secured Floating Rate Notes due 

2023 (the “Class B Notes”); 

€21,900,000 Class C Deferrable Secured Floating Rate Notes due 

2023 (the “Class C Notes”); 

€22,020,000 Class D Deferrable Secured Floating Rate Notes due 

2023 (the “Class D Notes”); 

€10,780,000 Class E Deferrable Secured Floating Rate Notes due 

2023 (the “Class E Notes” and, together with the Senior Notes, the 

Class B Notes, the Class C Notes and the Class D Notes, the 

“Rated Notes” ); and 

€32,800,000 Class N Subordinated Notes due 2023 (the “Class N 

Notes”). 

The Rated Notes and the Class N Notes are together referred to as 

the “Notes” and any one class of Notes being a “Class”. 

Status of the Notes: ................................. 

Each Class of Notes are secured limited recourse debt obligations 

of the Issuer and each Note of a specific Class ranks pari passu 

with each of the other Notes of such Class. Subject as provided 

below, the Class A1A Notes and the Class A1B Notes rank pari 

passu amongst themselves and senior in respect of the Class A2 

Notes. 

Subject as provided below, payments of principal on each Payment 

Date rank in the following order of priority: (i) the Class A1A 

Notes and Class A1B Notes, pari passu; (ii) the Class A2 Notes; 

(iii) the Class B Notes; (iv) the Class C Notes; (v) the Class D 

Notes; (vi) the Class E Notes and (vii) the Class N Notes. 

Subject as provided below, payments of interest on each Payment 

Date rank in the following order of priority: (i) the Class A1A 

Notes, including any Commitment Fee and Break Costs (other than 

in respect of any Class A1A Increased Margin) and Class A1B 

Notes, pari passu; (ii) the Class A2 Notes; (iii) the Class B Notes; 

(iv) the Class C Notes; (v) the Class D Notes; (vi) the Class E 

Notes and (vii) the Class N Notes. 

In the case of the redemption of the Notes pursuant to Condition 

7(b) (Optional Redemption) and after enforcement of the security 

over the Collateral, the Senior Notes rank pari passu amongst 

themselves. 

Notwithstanding the above, where interest is paid on the Class N 

Notes from amounts standing to the credit of the Collateral 

Enhancement Account which have been (i) transferred to the 

Collateral Enhancement Account in accordance with Condition 

3(c)(i)(HH); or (ii) credited to the Collateral Enhancement Account 

as amounts representing Sale Proceeds of Collateral Enhancement 

Securities, such payments of interest on the Class N Notes will not 

11

e paid in accordance with the Priorities of Payment and may rank 

senior to payments in respect of the other Classes of Notes on a 

Payment Date. 

See “Summary of Terms—Priorities of Payment” and “Description 

of the Accounts—Collateral Enhancement Account” below. 

Ratings: ................................................... 

It was a condition of the issuance of the Notes that the respective 

Classes of Notes be assigned at least the following ratings: 

Senior Notes: “AAA” by Fitch and “AAA” by S&P. 

Class B Notes: “AA” by Fitch and “AA” by S&P. 

Class C Notes: “A” by Fitch and “A” by S&P. 

Class D Notes: “BBB” by Fitch and “BBB” by S&P. 

Class E Notes: “BB” by Fitch and “BB” by S&P. 

The Collateral Manager will request that Fitch and S&P each 

confirms its rating of the Senior Notes and each other Class of the 

Rated Notes within 30 days after the Target Date. 

Use of Proceeds: ...................................... 

The net proceeds of the issue and offering of the Notes were 

applied by the Issuer as follows: 

(a) to fund or make provision for certain fees and expenses of the 

Issuer up to a maximum of €7,370,000; 

(b) to pay an up-front fee of €2,631,065 and any applicable VAT 

with respect thereto to the Collateral Manager on the Issue 

Date; 

(c) to pay the premium in respect of the Issuer entering into the 

Initial Hedge Agreement; and 

(d) any proceeds remaining were deposited by the Issuer into the 

Initial Proceeds Account for the purchase, together with any 

Drawing made under the Class A1A Note Purchase 

Agreement, of Collateral Debt Securities during the Ramp-Up 

Period subject to the conditions set out herein. See “Use of 

Proceeds” below. 

Class A1A Note Purchase Agreement: ..... 

Drawings made under the Class A1A Note Purchase Agreement 

shall be used by the Issuer in the acquisition of Collateral Debt 

Securities during the Ramp-Up Period and the Reinvestment 

Period. Euro Drawings shall be used to purchase additional Euro 

Collateral Debt Securities and Non-Euro Collateral Debt Securities 

during the Ramp-Up Period and the Reinvestment Period and 

Sterling Drawings shall be used to purchase Sterling Collateral 

Debt Securities during the Ramp-Up Period and the Reinvestment 

Period. 

The maximum aggregate principal amount of the Note Purchase 

Facility is €75,000,000 or its Sterling equivalent converted at the 

Issue Date Spot Rate in the case of any amounts drawn in Sterling 

(the “Total Commitments”). 

Drawings made under the Class A1A Note Purchase Agreement 

may be repaid on dates other than Payment Dates. Any Break 

Costs which will be calculated pursuant to the Class A1A Note 

12

Purchase Agreement, shall be payable on the relevant Payment 

Date. 

The holder of the Class A1A Notes or its guarantor, as the case 

may be, must satisfy certain Rating Requirements. If the holder of 

the Class A1A Notes or its guarantor, as the case may be, fails to 

satisfy the Rating Requirements set out in the Class A1A Note 

Purchase Agreement or otherwise defaults on its obligation to 

provide Drawings under the Class A1A Note Purchase Agreement, 

the holder of the Class A1A Notes shall be required to take such 

action as set out more specifically in the Class A1A Note Purchase 

Agreement. 

The Issuer may, in due course and from time to time, seek to 

refinance the Class A1A Notes through the issuance of Class A1B 

Refinancing Notes (denominated in Euro and having the same 

terms and conditions (in all respects save as to the first period of 

interest) as the Class A1B Notes), which, following their issuance, 

will be consolidated, rank pari passu and form a single series, with 

the Class A1B Notes (the “Class A1B Refinancing Notes”). 

Accordingly, the Class A1B Refinancing Notes will accrue interest 

at the same rate as the Class A1B Notes. 

If any Class A1B Refinancing Notes are issued, the Issuer shall 

repay Drawings on the date of the issuance of such Class A1B 

Refinancing Notes, subject to the Priorities of Payment, in an 

amount equal to the lesser of (1) the Total Outstandings and (2) the 

net proceeds of the issuance of such Class A1B Refinancing Notes 

and the Total Commitments shall automatically be cancelled. 

At no time will the aggregate principal amounts Outstanding under 

the Class A1B Notes and the Class A2 Notes, together with the 

aggregate at that time of all principal amounts drawn and any 

amount available for drawing under the Class A1A Notes, exceed 

€198,800,000 (converting any Sterling Drawing under the Class 

A1A Notes into Euro using the Issue Date Spot Rate). 

The “Issue Date Spot Rate” means €1.0 to £0.6748. 

No Notes other than the Class A1B Refinancing Notes will be 

issued to refinance amounts owing under the Class A1A Note 

Purchase Agreement. 

See “Description of the Class A1A Note Purchase Agreement” 

below. 

Sterling Funding Mismatch:..................... 

Voting Rights of the 

Class A1A Noteholders: ...................... 

In the event of a Sterling Funding Mismatch, such Sterling Funding 

Mismatch shall be cured using Interest Proceeds as further 

described in Condition 3(c)(i) (Application of Interest Proceeds on 

Payment Dates) and using Principal Proceeds as further described 

in Condition 3(c)(iii) (Application of Principal Proceeds on 

Payment Dates). 

For the purposes of voting on resolutions and issuing directions and 

any other decisions required to be made by any Class of 

Noteholders from time to time, in the case of the Class A1A 

Noteholders, votes shall be determined by reference to the Total 

Commitments at such time. 

13

Commitment Fee ..................................... 

The Issuer shall pay to the Class A1A Noteholders a commitment 

fee (the “Commitment Fee”) in Euro in respect of each Interest 

Accrual Period which: 

(a) shall be calculated on the basis of actual days elapsed in such 

Interest Accrual Period and a 360 day year at the rate of 0.15 

per cent. per annum of the daily weighted average amount of 

the Undrawn Amount during such Interest Accrual Period; and 

(b) shall be paid to the Class A1A Noteholders, in respect of each 

Interest Accrual Period, on the Payment Date immediately 

following the end of such Interest Accrual Period in 

accordance with the Priorities of Payment. 

Priorities of Payment: .............................. 

Prior to enforcement of the security constituted by the Trust Deed 

and optional redemption under Condition 7(b) (Optional 

Redemption), Interest Proceeds and Principal Proceeds shall be 

applied in payment of interest and principal payable in respect of 

the Notes and amounts payable to the other creditors of the Issuer 

in accordance with the Priorities of Payment set out in Condition 

3(c) (Priorities of Payment). 

On and following enforcement of the security constituted by the 

Trust Deed or optional redemption under Condition 7(b) (Optional 

Redemption), Interest Proceeds and Principal Proceeds shall be 

applied in accordance with the Priorities of Payment specified in 

Condition 11 (Enforcement). 

Interest Payments: ................................... 

Subject to the provisions below, the first Interest Accrual Period in 

respect of the Notes (other than the Class A1A Notes and the Class 

A1B Refinancing Notes) commenced on (and includes) the Issue 

Date and shall end on (and exclude) the Payment Date falling in 

January 2008 and, thereafter, interest in respect of the Notes of 

each Class will be payable semi-annually in arrear on the 18 th day 

of January and July of each year (subject in each case to adjustment 

for non-Business Days), at maturity and upon any redemption of 

the Notes (each such date a “Payment Date”), provided that the 

first Payment Date is 18 January 2008. 

Each Class of Notes bears interest at the following rates: 

Class A1A Notes: the rate determined in accordance with 

Condition 6 (Interest); 

Class A1B Notes: Applicable EURIBOR plus 0.23 per cent. per 

annum (the “Class A1B Note Interest Rate”) (and including any 

Class A1B Refinancing Notes, if issued); 

Class A2 Notes: Applicable EURIBOR plus 0.32 per cent. per 

annum (the “Class A2 Note Interest Rate”); 

Class B Notes: Applicable EURIBOR plus 0.42 per cent. per 

annum (the “Class B Note Interest Rate”); 

Class C Notes: Applicable EURIBOR plus 0.70 per cent. per 

annum (the “Class C Note Interest Rate”); 

Class D Notes: Applicable EURIBOR plus 1.70 per cent. per 

annum (the “Class D Note Interest Rate”); 

Class E Notes: Applicable EURIBOR plus 3.95 per cent. per 

annum (the “Class E Note Interest Rate”); and 

14

Class N Notes: on an available funds basis subject to payment of 

items in priority thereto in accordance with the Priorities of 

Payment. 

The interest amounts payable on any Payment Date with respect to 

each Class of Notes will be calculated in accordance with the 

provisions of Condition 6 (Interest) and will be paid in accordance 

with the Priorities of Payment. 

With respect to the Class N Notes, available funds, if any, for the 

payment of interest may be paid only after the payment of, inter 

alia, certain fees and expenses and interest payable in respect of the 

Senior Notes and the other senior Classes of Notes, provided that, 

at the discretion of the Collateral Manager, amounts up to 50 per 

cent. of the amounts which would otherwise have been payable as 

interest on the Class N Notes in accordance with Condition 

3(c)(i)(HH) (Application Interest Proceeds on Payment Dates) (up 

to a maximum aggregate amount of €5,000,000 or its equivalent in 

Sterling) may be transferred to the Collateral Enhancement 

Account and applied in the acquisition or exercise of rights under 

Collateral Enhancement Securities in accordance with the 

Collateral Management Agreement. Amounts standing to the 

credit of the Collateral Enhancement Account may be applied in 

paying interest on the Class N Notes. 

Consequences of Non-Payment 

of Interest:............................................ 

Reinvestment Period: .............................. 

Non-payment of interest (and with respect to the Class A1A Notes, 

including any Commitment Fee and Break Costs but excluding any 

Class A1A Increased Margin) in respect of the Notes Outstanding 

of the Controlling Class only, will (upon expiry of the applicable 

grace period) constitute an Issuer Event of Default pursuant to 

Condition 10(a) (Events of Default), following the occurrence of 

which the security over the Collateral will become enforceable 

pursuant to the terms of Condition 11 (Enforcement). For the 

avoidance of doubt, the non-payment of interest in respect of any 

Class of Notes Outstanding other than the Controlling Class shall 

not constitute an Issuer Event of Default and at no time will nonpayment 

of interest in respect of the Class N Notes constitute an 

Issuer Event of Default. 

The Reinvestment Period is the period from the Issue Date up to 

but excluding the Determination Date immediately preceding the 

Payment Date falling in July 2013. 

The Reinvestment Period shall automatically terminate upon the 

earliest of (i) the Payment Date on which the entire aggregate 

principal amount outstanding of all of the Notes is to be optionally 

redeemed and (ii) the date of the occurrence of an Issuer Event of 

Default. 

The Reinvestment Period may also be terminated earlier at the 

option of the Issuer, if at any time the Collateral Manager (acting in 

its sole and absolute discretion on behalf of the Issuer) by notice 

certifies to the Issuer that it has, after making all reasonable efforts 

to do so, been unable for reasons beyond its control to identify 

Additional Collateral Debt Securities that are deemed appropriate 

by the Collateral Manager (acting reasonably in accordance with its 

normal practice and acting on behalf of the Issuer) and which meet 

the Eligibility Criteria or, to the extent applicable, the 

Reinvestment Criteria in sufficient amounts to permit investment or 

reinvestment of the funds required to be invested by the Issuer, 

15

provided that the Issuer has obtained the consent of the holders of 

at least 50 per cent. of the aggregate principal amount outstanding 

of the Class N Notes (including for this purpose any of the Notes 

held by the Collateral Manager and its Affiliates) that the 

Reinvestment Period may be terminated prior to but excluding the 

Determination Date immediately preceding the Payment Date 

falling in July 2013. 

Maturity and Average Life 

and Duration: ...................................... 

Redemption of the Notes: ........................ 

The Notes of each Class Outstanding will mature at their principal 

amounts outstanding on 18 July 2023 (subject to adjustment for 

non-Business Days) (the “Maturity Date”), in each case unless 

repaid or redeemed prior to the Maturity Date. The average life of 

each Class of the Notes is expected to be equal to or shorter than 

the number of years between the Issue Date and the Maturity Date. 

Principal payments on the Notes will be made in the following 

circumstances, each as described in further detail below: 

(a) Final Redemption: On the Maturity Date. See Condition 7(a) 

(Final Redemption). 

(b) Optional Redemption; Class N Noteholders: All (but not 

some) of the Notes shall be redeemed at their applicable 

Redemption Prices by the Issuer at the request in writing of the 

holders of at least 66⅔ per cent. of the aggregate principal 

amount of Class N Notes Outstanding on any Payment Date 

falling on or after the fifth anniversary of the Issue Date or, on 

any Payment Date following the occurrence of a Collateral 

Tax Event, subject to certain conditions. See Condition 

7(b)(i)(A) (Optional Redemption—Redemption of the Class N 

Noteholders). 

(c) Optional Redemption; Tax Reasons: All (but not some) of the 

Notes shall be redeemed at their applicable Redemption Prices 

by the Issuer with the consent in writing of the holders of at 

least 66⅔ per cent. of the aggregate principal amount of Class 

N Notes Outstanding or the consent in writing of the Trustee 

acting on the directions of the holders of at least 66⅔ per cent. 

of the aggregate principal amount outstanding of the 

Controlling Class on any Payment Date following the 

occurrence of a Tax Event, subject to certain conditions. See 

Condition 7(b)(i)(B) (Redemption for Tax Reasons). 

(d) Mandatory Redemption; Breach of Coverage Test: In the 

event that any one of the Coverage Tests (as determined by the 

Collateral Administrator) is not satisfied on any Determination 

Date, on the Payment Date following such Determination 

Date, Interest Proceeds and thereafter Principal Proceeds will 

be used, each subject to the applicable Priorities of Payment, to 

redeem the Notes, in whole or in part, to the extent necessary 

to ensure the relevant Coverage Tests are satisfied if 

recalculated following such redemption. See Condition 7(c)(i) 

(Redemption upon Breach of Coverage Test). 

(e) Mandatory Redemption; Target Date Rating Downgrade: If a 

Target Date Rating Downgrade occurs and is continuing on the 

Business Day prior to a Payment Date, Interest Proceeds and, 

thereafter, Principal Proceeds will be applied, subject to the 

Priorities of Payment, on such Payment Date to redeem the 

Notes, in whole or in part, until the Rating Agencies confirm 

16

in writing that each such rating is reinstated. See Condition 

7(c)(ii) (Redemption Following Target Rate Rating 

Downgrade). 

(f) 

Mandatory Redemption After the Reinvestment Period: On 

each Payment Date after the end of the Reinvestment Period, 

Principal Proceeds (other than certain Unscheduled Principal 

Proceeds and Sale Proceeds from Credit Improved Securities, 

which at the option of the Collateral Manager may be invested 

in Collateral Debt Securities) will be applied, subject to the 

Priorities of Payment, to redeem the Notes. See Condition 

7(c)(iii) (Redemption Following Expiry of the Reinvestment 

Period). 

(g) Mandatory Redemption Upon Breach of Reinvestment OC 

Test: On each Payment Date after the end of the Reinvestment 

Period, in the event that the Reinvestment OC Test (as 

calculated by the Collateral Administrator) is not satisfied on 

the immediately preceding Measurement Date, Interest 

Proceeds net of the amounts payable under Condition 

3(c)(i)(A) to (Z) (inclusive) will be used, subject to the 

Priorities of Payment, to redeem the Notes, in whole or in part, 

to the extent necessary to cause the Reinvestment OC Test to 

be met if recalculated following such redemption or 

repayment. See Condition 7(c)(iv) (Redemption upon Breach 

of Reinvestment OC Test). 

(h) Redemption upon Sterling Funding Mismatch: On each 

Payment Date, in the event that there is a Sterling Funding 

Mismatch, Interest Proceeds and Principal Proceeds will be 

used in accordance with the Priorities of Payment to repay the 

Sterling Drawings (on a pro rata basis), in whole or in part, to 

the extent necessary to cure such Sterling Funding Mismatch. 

See Condition 7(c)(v) (Redemption upon Sterling Funding 

Mismatch). 

(i) 

(j) 

Special Redemption at the option of the Collateral Manager: 

Save as provided below, principal on the Notes shall be paid in 

accordance with Condition 3(c)(iii)(O) (Application of 

Principal Proceeds on Payment Dates) by the Issuer on the 

direction of the Collateral Manager (acting in its sole and 

absolute discretion on behalf of the Issuer) if, at any time 

during the Reinvestment Period, the Collateral Manager 

(acting on behalf of the Issuer) by notice certifies to the Issuer 

and the Trustee that for a period of 90 days following receipt 

of such funds it has been unable to identify Additional 

Collateral Debt Securities that are deemed appropriate by the 

Collateral Manager (in its discretion and acting on behalf of 

the Issuer) and which meet the Eligibility Criteria or, to the 

extent applicable, the Reinvestment Criteria and the Additional 

Reinvestment Criteria, in sufficient amounts to permit the 

investment or reinvestment of all or a portion of the funds then 

held in the Principal Collection Account that are to be invested 

in Additional Collateral Debt Securities (a “Special 

Redemption”). See Condition 7(d) (Redemption at the Option 

of the Collateral Manager). 

Redemption of Class A1A Notes: The Class A1A Notes may 

be redeemed by the Issuer subject to and in accordance with 

the terms of the Class A1A Note Purchase Agreement. 

17

Security for the Notes: ............................. 

Purchase of Collateral Debt Securities:..... 

The Notes are limited recourse debt obligations of the Issuer 

secured in favour of the Trustee for the benefit of the Secured 

Parties by, amongst other things, (a) a first fixed charge over and/or 

assignment by way of security of all rights of the Issuer in respect 

of: (i) the Portfolio, (ii) any Eligible Investments, (iii) the Accounts 

and (iv) the Transaction Documents, and (b) a floating charge over 

all the other assets (including all cash and other property) and 

undertakings of the Issuer (present and future) excluding (A) any 

and all assets, property or rights which are located in, or governed 

by the laws of, The Netherlands (except for contractual rights or 

receivables (rechten of vorderingen op naam) which are assigned 

or charged to the Trustee); (B) any and all Dutch Ineligible 

Securities; (C) the Issuer’s rights under the Management 

Agreement; (D) the Issuer’s rights in respect of and any and all 

amounts standing to the credit of the Issuer Dutch Account 

(together, the “Collateral”). See Condition 4(a) (Security) and 

“Description of the Portfolio” below. 

The Issuer has purchased or entered into agreements to purchase 

Collateral Debt Securities the aggregate Principal Balance of which 

were equal to at least 70 per cent. of the Target Par Amount on or 

prior to the Issue Date. The Collateral Manager, on behalf of the 

Issuer, will purchase additional Collateral Debt Securities during 

the Ramp-Up Period using the proceeds of the issue of the Notes, 

drawings under the Class A1A Notes and Principal Proceeds. 

Subject to the terms and conditions described in this Prospectus, 

the Collateral Manager, on behalf of the Issuer, may also purchase 

Additional Collateral Debt Securities during and after the 

Reinvestment Period. See “Description of the Portfolio—Ramp-Up 

Period” and “Description of the Portfolio—Sale of Collateral Debt 

Securities and Reinvestment Criteria” below. 

It is intended that the aggregate Principal Balance of Collateral 

Debt Securities as at the end of the Ramp-Up Period will be 

€300,000,000 (the “Target Par Amount”) (the Sterling amount of 

any Sterling denominated Collateral Debt Securities to be 

converted into Euro at the Issue Date Spot Rate). 

Collateral Quality Tests, 

Eligibility Criteria and the 

Coverage Tests:.................................... 

The Collateral Quality Tests, paragraph (c) of the Eligibility 

Criteria and the Coverage Tests were not required to be satisfied on 

the Issue Date but are expected to be satisfied as at the Target Date. 

In addition, after the Target Date, the Reinvestment Criteria and the 

Additional Reinvestment Criteria must be satisfied before and after 

giving effect to the purchase of any Additional Collateral Debt 

Securities to the extent required pursuant to the Collateral 

Management Agreement. See “Description of the Portfolio”. 

Collateral Quality Tests 1 : ........................ 

Collateral Quality Tests 

Maximum Weighted Average Fitch Rating Factor Test 

Minimum Fitch Weighted Average Recovery Rate Test 

Weighted Average Life Test 

Required 

See Matrix 

See Matrix 

See Matrix 

1 

For a more complete description of each of the Collateral Quality Tests, see “Description of the Portfolio—The 

Collateral Quality Tests”. 

18

Collateral Quality Tests 

Minimum Weighted Average Spread Test 

S&P Minimum Weighted Average Recovery Rate Test 

CDO Evaluator Test 

Required 

See Matrix 

See Matrix 

Positive 

Certain Eligibility Criteria 2 : ..................... 

Criteria 

Mezzanine Loans, Senior Lien Loans, CLO 

Securities or Special Debt Securities 

(collectively) 

CLO Securities 

Special Debt Securities 

Synthetic Securities, Participations and 

Collateral Debt Securities the subject of 

Securities Lending Agreements 

Collateral Debt Securities pertaining to U.S. 

obligors 

Synthetic Securities or Participations with a 

counterparty rated less than “A-1+” by S&P 

or Collateral Debt Securities where obligor is 

from a country rated less than “AA” by S&P 

(other specified bivariate risk exposure limits 

apply) 

Sterling Collateral Debt Securities 

Sterling Collateral Debt Securities together 

with Non-Euro Collateral Debt Securities 

denominated in Sterling 

PIK Securities 

Bank Loans, any single obligor 

Bank Loans, 2 out of 4 obligors 

Bank Loans, remaining 2 out of 4 obligors 


Securities or Special Debt Securities, any 

single obligor 


Securities or Special Debt Securities, up to 

five obligors 

Collateral Debt Securities comprised in any 

single Fitch Industry Category 

Collateral Debt Securities comprised in any 

of the three largest Fitch Industry Categories 

Percentage Permitted of 

the Maximum 

Investment Amount 

Max 12.5 per cent. 

Max 5 per cent. 








Max €7,500,000 or 

£5,061,000 

Max €11,500,000 or 

£7,760,200 

Max €9,000,000 or 

£6,073,200 

Max €4,500,000 or 

£3,036,600 

Max €6,000,000 or 

£4,048,800 



Coverage Tests: .............................. Payments under the Notes are subject to the Coverage Tests. The 

Coverage Tests include the following: (i) the Senior 

Overcollateralisation Ratio Test; (ii) the Class B 

Overcollateralisation Ratio Test; (iii) the Class C 

Overcollateralisation Ratio Test; (iv) the Class D 

2 

For a more complete description of the Eligibility Criteria, see “Description of the Portfolio—Eligibility Criteria”. 

19

Overcollateralisation Ratio Test; (v) the Class E 

Overcollateralisation Ratio Test; and (vi) the Senior Interest 

Coverage Test. A breach of a Coverage Test will cause redemption 

of the Notes of the Class to which such Coverage Test relates and 

all prior ranking Classes of Notes in accordance with the Priorities 

of Payment on the related Payment Date; such redemption to be 

applied out of Interest Proceeds and Principal Proceeds. 

Each of the Coverage Tests shall be satisfied on a Measurement 

Date on or after the Target Date if the corresponding 

Overcollateralisation Ratio on such Measurement Date is at least 

equal to the percentage specified in the table below in relation to 

the respective Coverage Test. 

Class 

A 

B 

C 

D 

E 

Required Overcollateralisation Ratio 

133.9 per cent. 





The Senior Interest Coverage Test shall be satisfied on a 

Measurement Date on or after the Target Date if the Senior Interest 

Coverage Ratio on such Measurement Date is at least equal to 


Collateral Enhancement Securities: .......... 

Collateral Enhancement Securities are comprised of warrants and 

equity securities (excluding any Defaulted Equity Securities or 

Dutch Ineligible Securities or Margin Stock (as defined under 

Regulation U issued by the Board of Governors of the United 

States Federal Reserve System)), including, without limitation, 

warrants attached to Mezzanine Loans or Second Lien Loans and 

any equity security received upon conversion or exchange of, or 

exercise of an option under, or any warrant or equity security 

purchased as part of a unit with, or otherwise in respect of, a 

Collateral Debt Security. 

The ratings assigned by the Rating Agencies to the Senior Notes 

and the other Classes of Rated Notes do not take into account the 

value of the Collateral Enhancement Securities. 

Accordingly, Collateral Enhancement Securities are excluded from 

any determination of satisfaction of the Coverage Tests or the 

Collateral Quality Tests and neither the Eligibility Criteria nor the 

Reinvestment Criteria apply to Collateral Enhancement Securities. 

Collateral Enhancement Securities are either purchased by or on 

behalf of the Issuer in accordance with the Collateral Management 

Agreement as part of a unit with Collateral Debt Securities or 

purchased independently out of amounts standing to the credit of 

the Collateral Enhancement Account from time to time (which 

shall be funded out of amounts which would otherwise be payable 

to the Class N Noteholders in accordance with the Priorities of 

Payment). See “Description of the Portfolio—Collateral 

Enhancement Securities” below. Amounts standing to the credit of 

the Collateral Enhancement Account may be applied by the 

Collateral Manager (on behalf of the Issuer) as set out in 

“Description of the Accounts—Collateral Enhancement Account”. 

Securities Lending: .................................. 

Subject to certain conditions, the Issuer (or the Collateral Manager 

on behalf of the Issuer) is permitted to lend the Collateral Debt 

Securities under Securities Lending Agreements. See “Description 

of the Portfolio—Securities Lending” below. 

20

Reinvestment in Collateral 

Debt Securities:.................................... 

Fees paid to Collateral Manager:.............. 

Subject to certain limits, Principal Proceeds, Drawings under the 

Class A1A Notes and the amount credited to each of the Initial 

Proceeds Account, the Additional Collateral Account and the 

Sterling Additional Collateral Account may be used during the 

Reinvestment Period to purchase Collateral Debt Securities 

meeting the Reinvestment Criteria. Subject to certain limits, 

certain Unscheduled Principal Proceeds and Sale Proceeds from 

Credit Improved Securities may be used after the Reinvestment 

Period to purchase Collateral Debt Securities meeting the 

Reinvestment Criteria and the Additional Reinvestment Criteria. 

See “Description of the Portfolio—Sale of Collateral Debt 

Securities and Reinvestment Criteria” below. 

The Collateral Manager has been or will, subject to the Priorities of 

Payment and the limited recourse and non-petition provisions of 

the Collateral Management Agreement (which are similar to 

Condition 4(c) (Limited Recourse and Non-Petition)), be paid: 

(a) an up-front fee and any applicable VAT payable thereon on the 

Issue Date; 

(b) the Base Collateral Management Fee in arrear on each 

Payment Date; 

(c) the Subordinated Collateral Management Fee in arrear on each 

Payment Date; and 

(d) the Incentive Collateral Management Fee in arrear on each 

Payment Date, but only if the Incentive Management Fee 

Hurdle Rate is achieved. 

Any Base Collateral Management Fee and/or Subordinated 

Collateral Management Fee not paid on the Payment Date on 

which it is due will be added to the Base Collateral Management 

Fee and/or Subordinated Collateral Management Fee, respectively, 

due on the next occurring Payment Date. 

Accounts: ................................................ 

Eligible Investments: ............................... 

Hedge Arrangements: .............................. 

The Issuer established various accounts with the Account Bank 

prior to the Issue Date. The Issuer also opened custody accounts 

with the Custodian in accordance with the Agency Agreement. See 

“Description of the Accounts” below. 

Amounts standing to the credit of the Accounts may be invested by 

or on behalf of the Issuer in Eligible Investments. 

The Issuer entered into various Sterling call options (each an 

“Initial Hedge Transaction” and together the “Initial Hedge 

Transactions”) with The Bank of New York (the “Initial Hedge 

Counterparty”) on the Issue Date. The Initial Hedge Transactions 

are documented by a 1992 ISDA Master Agreement (Multicurrency—Cross 

Border) as published by the International Swaps 

and Derivatives Association, Inc., together with a schedule thereto 

and confirmations (the “Initial Hedge Agreement”). 

The Issuer may enter into further hedging arrangements to hedge 

interest rate or currency risks. The Issuer will have to obtain 

Rating Agency Confirmation prior to entering into any such 

hedging arrangements after the Issue Date unless such hedging 

arrangement is a Form-Approved Hedge. See “Description of 

Hedge Arrangements” below. 

21

Liquidation of Collateral 

Debt Securities:.................................... 

Liquidity Facility: ................................... 

The Collateral Manager, on behalf of the Issuer, will sell or 

liquidate all Collateral (including any remaining Collateral Debt 

Securities, Eligible Investments and any remaining Hedge 

Agreements) for settlement no later than the Maturity Date and 

deposit the proceeds thereof in the relevant Accounts. On the 

Maturity Date, all net proceeds from such liquidation and sale and 

all available cash will be distributed to the holders of Notes that 

remain Outstanding and other creditors in accordance with the 

Priorities of Payment whereupon all remaining Notes will be 

cancelled. 

For the period from the Issue Date until (and excluding) the date 

which falls 365 days after the Issue Date and, subject to extension 

in accordance with the terms of the Liquidity Facility Agreement, 

each subsequent period of 365 days, the Issuer is, subject to 

satisfaction of certain conditions, entitled, on a date no later than 2 

Business Days prior to a Payment Date, to make drawings under a 

liquidity facility in a minimum amount of €50,000 (or any 

equivalent thereof) (the “Liquidity Facility”) pursuant to a 

liquidity facility agreement (the “Liquidity Facility Agreement”) 

entered into on or about the Issue Date between, inter alios, the 

Issuer (as borrower) and Dresdner Bank AG London Branch (the 

“Liquidity Facility Provider”). 

The maximum amount of the Liquidity Facility is €6,800,000 or its 

Sterling equivalent (converted from Euro using the Issue Date Spot 

Rate). Provided the Senior Overcollateralisation Ratio is at least 

100 per cent. on the related Determination Date, the Issuer will be 

entitled to draw under the Liquidity Facility, an amount equal to 

the lesser of (a) the undrawn amount of the Liquidity Facility; (b) 

the Accrued Euro Collateral Interest Amount, with respect to any 

drawings denominated in Euro, and the Accrued Sterling Collateral 

Interest Amount, with respect to any drawings denominated in 

Sterling; and (c) such lesser amount as determined by the Collateral 

Manager on behalf of the Issuer (such amount allowed to be drawn, 

the “Liquidity Limit”). The undrawn amount of the Liquidity 

Facility is calculated by deducting all amounts drawn from the 

maximum amount of €6,800,000 or its Sterling equivalent (using 

the Issue Date Spot Rate). Accordingly, the Issuer is able to draw 

down amounts under the Liquidity Facility up to the Liquidity 

Limit in order to make payments pursuant to the Priorities of 

Payment in respect of any drawings denominated in Euro or 

Sterling to meet any shortfalls in respect of the Euro Interest 

Proceeds, or as the case may be, Sterling Interest Proceeds. 

The Issuer shall procure that Interest Proceeds in respect of the 

Collateral Debt Securities in the Portfolio attributable to amounts 

funded pursuant to the Liquidity Facility which are paid to the 

Issuer will be deposited into the relevant Liquidity Payment 

Account (but only up to the maximum amount owing by the Issuer 

to the Liquidity Facility Provider under the Liquidity Facility 

Agreement in respect of the principal amount of any liquidity 

drawing and accrued interest thereon). In connection therewith, the 

money standing to the credit of each Liquidity Payment Account 

may be applied by the Issuer at its discretion at any time towards 

repayment of the principal amount of any liquidity drawing and 

accrued interest thereon in the accrual period following a 

drawdown date. In addition, the Issuer is required to repay all 

remaining amounts due and owing to the Liquidity Facility 

Provider (including the outstanding principal amount of any 

22

liquidity drawing and accrued interest thereon) under the Liquidity 

Facility Agreement on each Payment Date. 

The commitment under the Liquidity Facility Agreement will be 

cancelled in full on the Payment Date on which the Class A Notes 

are redeemed in full. For the avoidance of doubt, subject to the 

provisions of the Priorities of Payment and Condition 3(c)(v) (FX 

Conversion), the Issuer shall only use Sterling Interest Proceeds to 

repay drawings denominated in Sterling and Euro Interest Proceeds 

to repay drawings denominated in Euro. 

The Liquidity Facility Provider is required to have a short term 

senior unsecured debt rating of at least “F1” by Fitch and “A-1” by 

S&P, provided that if such ratings are not maintained, the Issuer 

shall require the Liquidity Facility Provider, within 30 calendar 

days thereof, either to (i) find a replacement liquidity facility 

provider meeting the Rating Requirement who will enter into a 

liquidity facility agreement with the Issuer on substantially the 

same terms as the Liquidity Facility Agreement; or (ii) find a 

guarantor meeting the Rating Requirement to guarantee the 

obligations of the Liquidity Facility Provider pursuant to the 

Liquidity Facility Agreement; or (iii) to pay into a designated 

account of the Issuer (the “Stand-by Liquidity Account”) held 

with the Account Bank. The Liquidity Facility Provider will also 

be required to make such a payment to the Stand-by Liquidity 

Account where the Liquidity Facility Provider does not agree to 

extend the Commitment Period at the expiry of the then current 

Commitment Period. The Collateral Administrator shall on behalf 

of the Issuer invest the amounts not required to be utilised in the 

Stand-by Liquidity Account from time to time in Eligible 

Investments if directed to do so by the Liquidity Facility Provider 

in accordance with the provisions of the Liquidity Facility 

Agreement. 

Amounts standing to the credit of the Stand-by Liquidity Account 

will be available for drawing for the same purposes as they would 

have been available for drawing under the Liquidity Facility. 

The Liquidity Facility Provider must qualify as a “professional 

market party” for Dutch regulatory purposes. 

The Offering: .......................................... 

Authorised Denominations: ..................... 

The Notes of each Class are offered (a) in the United States in 

reliance on the exemption from registration provided by Rule 144A 

to persons who are qualified institutional buyers (as defined in Rule 

144A) (a “Qualified Institutional Buyer”) and (b) outside the 

United States to persons who are neither U.S. persons (as defined 

in Regulation S) (“U.S. Persons”) nor U.S. residents (as defined in 

the Investment Company Act) (“U.S. Residents”) in offshore 

transactions in reliance on Regulation S and, in each case, in 

accordance with any applicable securities laws of any state of the 

United States and any other relevant jurisdiction. Notes offered for 

sale to a U.S. Person are offered only to a person that is a 

“Qualified Purchaser” as defined in the Investment Company Act. 

Regulation S Notes (other than the Class A1A Regulation S Notes): 

€100,000 and integral multiples of €1,000 thereof. 

Rule 144A Notes (other than the Class A1A Rule 144A Notes): 

€500,000 and integral multiples of €1,000 thereof. 

23

Class A1A Regulation S Notes and Class A1A Rule 144A Notes: 

€1,000,000 or £500,000 and integral multiples of €1,000 or £500 

thereof. 

Form, Registration and 

Transfer of Notes: ................................ 

Save as provided below with respect to the Class A1A Notes, the 

Notes of any Class offered in reliance on Regulation S under the 

Securities Act are represented by one or more global certificates of 

each Class, in fully registered form, without interest coupons or 

principal receipts (each, a “Regulation S Global Note”), deposited 

with a common depositary for, and registered in the name of, a 

nominee on behalf of Euroclear and/or Clearstream, Luxembourg. 

Interests in a Regulation S Global Note are shown on, and transfers 

thereof will be effected only through, records maintained by 

Euroclear and/or Clearstream, Luxembourg and its or their direct 

and indirect participants (including Euroclear and Clearstream, 

Luxembourg). Until and including the 40 th day after the later of the 

commencement of the Offering and the closing of the Offering of 

the Notes (the “Distribution Compliance Period”), interests in a 

Regulation S Global Note may be held only through Euroclear or 

Clearstream, Luxembourg. See “Form of the Notes” and “Book 

Entry Clearance Procedures” below. 

Save as provided below with respect to the Class A1A Notes, the 

Notes of any Class offered in the United States or to U.S. Persons 

or U.S. Residents in reliance on Rule 144A under the Securities 

Act are represented by one or more global certificates of each 

Class, in fully registered form, without interest coupons or 

principal receipts (each, a “Rule 144A Global Note”) deposited 

with a custodian for, and registered in the name of, a nominee of, 

DTC. Beneficial interests in a Rule 144A Global Note may only be 

held through, and transfers thereof will only be effected through, 

records maintained by DTC and its direct and indirect participants. 

See “Form of the Notes” and “Book Entry Clearance Procedures” 

below. 

Purchases of, and transfers of interests in, a Global Note are subject 

to certain acknowledgements, representations, agreements and 

restrictions and must be made in accordance with the procedures 

set forth in the Trust Deed and the Agency Agreement. See “Form 

of the Notes”, “Book Entry Clearance Procedures” and “Plan of 

Distribution and Transfer Restrictions” below. 

Except only in limited circumstances described herein, Notes in 

definitive certificated form (“Definitive Notes”) will not be issued 

in exchange for beneficial interests in either a Regulation S Global 

Note or a Rule 144A Global Note. See “Form of the Notes— 

Exchange for Definitive Notes” below. 

Class A1A Notes offered in reliance on Regulation S under the 

Securities Act and Rule 144A were issued on the Issue Date in 

definitive, fully registered certificated form without interest 

coupons, registered in the name of the purchaser thereof (or its 

respective nominee). Ownership of the Class A1A Notes are 

evidenced by the Capital Commitment Register held by the Capital 

Commitment Registrar and transfers of the Class A1A Notes are 

effected in accordance with the Class A1A Note Purchase 

Agreement. See “Form of the Notes” and “Book Entry Clearance 

Procedures” below. 

24

No Note (or any interest therein) may be transferred to a transferee 

acquiring a Rule 144A Note except (a) to a transferee whom the 

transferor reasonably believes is a Qualified Institutional Buyer, 

purchasing for its own account or to whom notice is given that the 

resale, pledge or other transfer is being made in reliance on an 

exemption from the registration requirements of the Securities Act, 

(b) to a transferee that is a “qualified purchaser” as defined in the 

Investment Company Act, (c) in compliance with the certification 

(if any) and other requirements set forth in the Trust Deed or the 

Agency Agreement and (d) in accordance with any applicable 

securities laws of any state of the United States and any other 

relevant jurisdiction. See “Plan of Distribution and Transfer 

Restrictions” below. 

No Note (or any interest therein) may be transferred to a transferee 

acquiring an interest in a Regulation S Note except (a) to a 

transferee who is acquiring such interest in an offshore transaction 

(within the meaning of Regulation S) in accordance with 

Regulation S, (b) to a transferee (other than any transferee who 

acquires an interest in a Regulation S Global Note after the end of 

the Distribution Compliance Period in an offshore transaction in 

accordance with Rule 904 of Regulation S) who is not a U.S. 

Person or a U.S. Resident, (c) in compliance with the certification 

(if any) and other requirements set forth in the Trust Deed and (d) 

if such transfer is made in accordance with any applicable 

securities laws of any state of the United States and any other 

relevant jurisdiction. See “Plan of Distribution and Transfer 

Restrictions” below. 

No Note (or any interest therein) may be transferred, and none of 

the Issuer, the Registrar, any Transfer Agent and the Trustee will 

recognise any purported transfer, unless (a) the transfer is made in 

a manner exempt from registration under the Securities Act, (b) 

such transfer is made in denominations equal to or greater than the 

Minimum Denomination therefor, (c) such transfer would not have 

the effect of requiring the Issuer or the pool of Collateral to register 

as an investment company under the Investment Company Act and 

(d) the transferee is able to make all applicable certifications and 

representations required by the relevant transfer certificate set out 

in the Trust Deed (if applicable). See “Plan of Distribution and 

Transfer Restrictions” below. 

Notwithstanding the foregoing paragraph, (x) an owner of a 

beneficial interest in a Regulation S Global Note may transfer such 

interest in the form of a beneficial interest in such Regulation S 

Global Note without the provision of written certification, provided 

that (1) prior to the expiration of the Distribution Compliance 

Period such transfer is not made to a U.S. Person or U.S. Resident 

or for the account or benefit of a U.S. Person or U.S. Resident and 

is effected through Euroclear or Clearstream, Luxembourg in an 

offshore transaction as required by Regulation S and (2) after the 

expiration of the Distribution Compliance Period, any transfer not 

effected in an offshore transaction in accordance with Rule 904 of 

Regulation S may be made only upon provision to the Registrar of 

written certification from the transferee and transferor in the form 

provided in the Trust Deed, and (y) an owner of a beneficial 

interest in a Rule 144A Global Note may transfer such interest in 

the form of a beneficial interest in such Rule 144A Global Note 

without the provision of written certification. See “Plan of 

Distribution and Transfer Restrictions” below. 

25

The Trust Deed provides that the Issuer may require the sale of any 

Note that has been transferred in breach of certain of such transfer 

restrictions. See “Risk Factors—Investment Company Act” and 

“Plan of Distribution and Transfer Restrictions” below. 

Listing and Trading: ................................ 

Governing Law: ...................................... 

Withholding Tax: .................................... 

ERISA Considerations: ........................... 

Additional Issuances: .............................. 

Application has been made to the Irish Financial Services 

Regulatory Authority (the “IFSRA”) as the competent authority 

(the “Competent Authority”) under Directive 2003/71/EC for the 

Prospectus to be approved. Application has been made to the Irish 

Stock Exchange for the Notes to be admitted to the Official List 

and trading on its regulated market. Such approval relates only to 

Notes which are to be admitted to trading on the regulated market 

of the Irish Stock Exchange or other regulated markets for the 

purposes of Directive 93/22/EEC or which are to be offered to the 

public in any member state of the European Economic Area. There 

is currently no market for the Notes and no assurance can be given 

that such a market will develop. See “Risk Factors—Limited 

Liquidity of Notes and Restrictions on Transfer” below. 

The Notes, the Trust Deed, the Class A1A Note Purchase 

Agreement and all other Transaction Documents, unless otherwise 

specified, are governed by, and shall be construed in accordance 

with, English law. The Euroclear Pledge Agreement is governed 

by, and shall be construed in accordance with, Belgian law. The 

Management Agreement is governed by, and shall be construed in 

accordance with, Dutch law. 

All payments of principal and interest in respect of the Notes shall 

be made free and clear of, and without withholding or deduction 

for, any taxes, duties, assessments or governmental charges of 

whatever nature imposed, levied, collected, withheld or assessed by 

or within The Netherlands or any other jurisdiction, or any political 

sub division or any authority therein or thereof having power to 

tax, unless such withholding or deduction is required by law. For 

the avoidance of doubt, the Issuer shall not be required to gross up 

any payments made to the Noteholders and shall withhold or 

deduct from any such payments any amounts on account of tax 

where so required by law or any relevant taxing authority. See 

“Tax Considerations” below. 

See “ERISA Considerations” below. 

Additional Notes (including, but not limited to, the Class A1B 

Refinancing Notes) may be issued and sold subject to satisfaction 

of the conditions set out in Condition 17 (Further Issues). 

26

RISK FACTORS 

An investment in the Notes involves certain risks. Prospective investors should carefully consider the 

following factors, in addition to the matters set forth elsewhere in this Prospectus, prior to investing in any Class 

of Notes. 

Limited Liquidity of Notes and Restrictions on Transfer 

Although there is currently a market for notes representing collateralised debt obligations similar to the 

Notes (other than the Class N Notes) offered hereby, currently no market exists for such Notes. While the Initial 

Purchaser may from time to time make a market in each such Class of Notes upon their respective issuance, it is 

under no obligation to do so. In addition, there can be no assurance that any secondary market will provide the 

holders of any such Class of Notes with liquidity of investment or will continue for the life of such Notes. 

Consequently, a purchaser must be prepared to hold such Notes for an indefinite period of time and potentially 

until their Maturity Date. In addition, such Notes are subject to certain transfer restrictions. Such restrictions on 

the transfer of such Notes may further limit their liquidity. See “Plan of Distribution and Transfer 

Restrictions”. 

There is currently no market for the Class N Notes and there can be no assurance that such a market will 

develop. A form of liquidity for the Class N Notes is the optional redemption provision set out in Condition 

7(b)(i)(A) (Redemption at the Option of the Class N Noteholders), but optional redemption may not occur prior 

to the Payment Date immediately following the fifth anniversary of the Issue Date. In addition, there can be no 

assurance that the optional redemption provision will be capable of exercise in accordance with the conditions 

set out in Condition 7(b)(ii) (Conditions to Optional Redemption at the Option of the Class N Noteholders). 

Consequently, a purchaser must be prepared to hold the Class N Notes potentially until their Maturity Date. In 

addition, Class N Notes are subject to certain transfer restrictions. Such restrictions on transfer of the Class N 

Notes may further limit their liquidity. See “Plan of Distribution and Transfer Restrictions”. 

Suitability 

Prospective purchasers of the Notes of any Class should ensure that they understand the nature of such 

Notes and the extent of their exposure to risk, that they have sufficient knowledge and experience, and access to 

professional advisers to assist them, to make their own legal, tax, accounting and financial evaluation of the 

merits and risks of investment in such Notes and that they consider the suitability of such Notes as an 

investment in the light of their own circumstances and financial condition. 

Limited Recourse Obligations 

The Notes are secured limited recourse obligations of the Issuer and are payable solely from amounts 

received in respect of the Collateral Debt Securities in the Portfolio, the Hedge Agreements and the other 

Collateral securing the Notes. None of the officers, directors or incorporators of the Issuer, the Collateral 

Manager, the Initial Purchaser, the Trustee, the Paying Agents, the Registrar, the Transfer Agents, the Capital 

Commitment Registrar, any Class A1A Noteholders, the Collateral Administrator, the Liquidity Facility 

Provider (except to the extent of its obligations pursuant to the Liquidity Facility Agreement), each Hedge 

Counterparty (except to the extent of its obligations pursuant to the Hedge Agreements), any of their respective 

Affiliates and any other person or entity (other than the Issuer), are obliged to make payments on the Notes. 

Consequently, holders of the Notes must rely solely on distributions on the Collateral Debt Securities and 

amounts received under the Hedge Agreements and other Collateral securing the Notes for the payment of 

principal, interest and other amounts on the Notes. There can be no assurance that the distributions on the 

Collateral Debt Securities and amounts received under the Hedge Agreements and other Collateral securing the 

Notes will be sufficient to make payments on any Class of Notes after making payments on more senior Classes 

of Notes and certain other required amounts to other creditors ranking senior to or pari passu with such Class. 

The Issuer’s ability to make payments in respect of any Class of Notes will be constrained by the terms of the 

Notes of Classes more senior to such Class and by the terms of the Trust Deed. If distributions on the Collateral 

Debt Securities and amounts received under the Hedge Agreements and other Collateral securing the Notes are 

insufficient to make payments on any Class of Notes in accordance with the Priorities of Payment, no other 

assets will be available for payment of the deficiency. 

In addition, none of the Noteholders or any other Secured Party except the Trustee, may, until the expiry of 

one year and one day from but excluding the date of redemption of the latest maturing Note: 

27

(a) take any corporate action or other steps or legal proceedings for the winding up, dissolution, 

moratorium, controlled management, similar insolvency proceedings or reorganisation or for the 

appointment of a receiver, administrator, administrative receiver, trustee, liquidator, sequestrator or 

similar officer of the Issuer or of any or all of the revenues and assets of the Issuer; or 

(b) have any right to take any steps for the purpose of obtaining payment of any amounts payable to it 

under any of the Transaction Documents by the Issuer and shall not until such time take any steps to 

recover any debts whatsoever owing to it by the Issuer. 

For the avoidance of doubt, the above provision does not prevent the Controlling Class directing the Trustee 

to take steps to obtain payment of amounts payable under the Transaction Documents upon the security over the 

Collateral becoming enforceable, in accordance with the Trust Deed. 

Counterparty Credit Risk 

Investment in the Notes of any Class involves a degree of risk arising from fluctuations in the amount and 

timing of receipt of the principal and interest on the Collateral Debt Securities by, or on behalf of, the Issuer and 

the amounts of the claims of creditors of the Issuer ranking in priority to the holders of each Class of the Notes. 

In particular, Participations, Synthetic Securities, the Liquidity Facility Agreement, Securities Lending 

Agreements and Hedge Agreements generally involve the Issuer entering into contracts with counterparties. 

Pursuant to such contracts, the counterparties agree to make payments to the Issuer under certain circumstances 

as described therein. The Issuer will generally be exposed to the credit risk of the counterparty in respect of 

such payments. 

Credit Risk and Credit Ratings of Collateral Debt Securities 

Prospective purchasers of the Notes should be aware that the amount and timing of payment of the principal 

and interest on the Collateral Debt Securities depend upon the detailed terms of the documentation relating to 

each of the Collateral Debt Securities and on whether or not any obligor thereunder defaults in its obligations. 

Credit ratings of debt securities represent the rating agencies’ opinions regarding their credit quality and are 

not a guarantee of quality. Rating agencies attempt to evaluate the safety of principal and interest payments and 

do not evaluate the risks of fluctuations in market value. Accordingly, credit ratings may not fully reflect the 

true risks of an investment. Also, rating agencies may fail to make timely changes in credit ratings in response 

to subsequent events, so that an issuer’s current financial condition may be better or worse than a rating 

indicates. 

Subordination 

Prior to enforcement of the security over the Collateral, interest in respect of (i) the Senior Notes (other than 

any payment of interest representing the Class A1A Increased Margin) and payments in respect of the 

Commitment Fee and Break Costs are senior to interest on the Class B Notes, the Class C Notes, the Class D 

Notes, the Class E Notes and the Class N Notes; and (ii) the Class B Notes is senior to interest on Class C Notes, 

Class D Notes, Class E Notes and Class N Notes and to interest representing the Class A1A Increased Margin; 

and (iii) the Class C Notes is senior to interest on the Class D Notes, Class E Notes, and Class N Notes and to 

interest representing the Class A1A Increased Margin; and (iv) the Class D Notes is senior to interest on the 

Class E Notes and the Class N Notes and to interest representing the Class A1A Increased Margin; and (v) the 

Class E Notes is senior to interest on the Class N Notes and to interest representing the Class A1A Increased 

Margin (except in each case, to the extent interest is paid on the Class N Notes from amounts standing to the 

credit of the Collateral Enhancement Account which have been (1) transferred to the Collateral Enhancement 

Account in accordance with Condition 3(c)(i)(HH) or (2) credited to the Collateral Enhancement Account as 

amounts representing Sale Proceeds of Collateral Enhancement Securities). 

Prior to the enforcement of the security over the Collateral (except as specified below), interest in respect of 

(i) the Class A1A Notes and Class A1B Notes (other than any payment of interest representing the Class A1A 

Increased Margin) and payments in respect of the Commitment Fee and Break Costs are senior to principal 

payable in respect of the other Rated Notes and the Class N Notes, (ii) the Class A2 Notes is senior to principal 

payable in respect of the other Rated Notes and the Class N Notes, (iii) the Class B Notes is senior to principal 

payable in respect of the Senior Notes and the other Classes of the Rated Notes and the Class N Notes if the 

Senior Coverage Tests are satisfied; (iv) the Class C Notes is senior to principal payable in respect of the Senior 

Notes and the other Classes of the Rated Notes and the Class N Notes if the Senior Coverage Tests and the Class 

28

B Overcollateralisation Ratio Test are satisfied; (v) the Class D Notes is senior to the principal payable in 

respect of the Senior Notes and the other Classes of the Rated Notes and the Class N Notes if the Senior 

Coverage Tests, the Class B Overcollateralisation Ratio Test and the Class C Overcollateralisation Ratio Test 

are satisfied; and (vi) the Class E Notes is senior to the principal payable in respect of the Senior Notes and the 

other Classes of the Rated Notes and the Class N Notes if the Senior Coverage Tests, the Class B 

Overcollateralisation Ratio Test, the Class C Overcollateralisation Ratio Test and the Class D 

Overcollateralisation Ratio Test are satisfied. If the (i) Senior Coverage Tests are not met, interest in respect of 

the Class B Notes is subordinated to principal payable on the Senior Notes; and (ii) if Senior Coverage Tests or 

the Class B Overcollateralisation Ratio Test are not met, interest in respect of the Class C Notes is subordinated 

to principal payable on the Senior Notes and the Class B Notes; and (iii) if Senior Coverage Tests, the Class B 

Overcollateralisation Ratio Test or the Class C Overcollateralisation Ratio Test are not met, interest in respect of 

the Class D Notes is subordinated to principal payable on the Senior Notes, the Class B Notes and the Class C 

Notes; and (iv) if Senior Coverage Tests, the Class B Overcollateralisation Ratio Test, the Class C 

Overcollateralisation Ratio Test or the Class D Overcollateralisation Ratio Test are not met, interest in respect of 

the Class E Notes is subordinated to principal payable on the Senior Notes, the Class B Notes, the Class C Notes 

and the Class D Notes in each case to the extent required and as described in the Conditions of the Notes. 

Prior to enforcement of the security over the Collateral, interest in respect of the Class N Notes is 

subordinated to interest on the Senior Notes and to each other Class of Rated Notes, and, provided the Coverage 

Tests are satisfied in respect of each Class of Notes, and if, following the Target Date, no Target Date 

Downgrade Rating is continuing, senior to principal in respect of the Senior Notes and to principal on each other 

Class of Rated Notes. If any of the Coverage Tests are not met or, if following the Target Date, a Target Date 

Downgrade Rating is continuing, interest in respect of the Class N Notes is subordinated to principal payable on 

the Senior Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes. 

Interest on each of the Class B Notes, Class C Notes, Class D Notes and Class E Notes will be paid semiannually 

and will be deferred in the event that insufficient Interest Proceeds are available to make payment of 

interest on such Class of Notes on any Payment Date pursuant to Condition 3(c)(i) (Application of Interest 

Proceeds on Payment Dates) or insufficient Principal Proceeds are available pursuant to Condition 3(c)(iii) 

(Application of Principal Proceeds on Payment Dates) for so long as, in the case of (i) the Class B Notes or any 

Senior Notes remain outstanding; or (ii) the Class C Notes, any Senior Notes or Class B Notes remain 

outstanding; or (iii) the Class D Notes, any Senior Notes, Class B Notes or Class C Notes remain outstanding; or 

(iv) the Class E Notes, any Senior Notes, Class B Notes, Class C Notes or Class D Notes remain outstanding. 

Such a deferral will not constitute an Issuer Event of Default. 

Interest on the Class N Notes will be paid semi-annually on each Payment Date only to the extent that there 

are Interest Proceeds available following payment of interest in respect of the Senior Notes, the other Rated 

Notes and the fees, expenses and other amounts set out in Condition 3(c)(i) (Application of Interest Proceeds on 

Payment Dates), and to, the extent amounts are determined by the Collateral Manager to be released from the 

Collateral Enhancement Account. 

With certain limited exceptions described herein, (a) payments of principal of and interest on the Class A1A 

Notes and the Class A1B Notes are senior to the payment of principal of the Class A2 Notes (b) payments of 

principal and interest on the Class A2 Notes are senior to the payment of principal of the Class B Notes, the 

Class C Notes, the Class D Notes, the Class E Notes and Class N Notes, (c) payments of principal of and 

interest on the Class B Notes are senior to the payment of principal of the Class C Notes, the Class D Notes, the 

Class E Notes and Class N Notes, (d) payments of principal of and interest on the Class C Notes are senior to 

the payment of principal on the Class D Notes, the Class E Notes and the Class N Notes, (e) payments of 

principal of and interest on the Class D Notes are senior to the payment of principal on the Class E Notes and 

the Class N Notes and (f) payments of principal of and interest on the Class E Notes are senior to the payment of 

principal on the Class N Notes. 

Payments of principal and interest on each Class of Notes are also subordinated to the payment of certain 

other amounts payable by the Issuer, as set out in the Priorities of Payment. 

Except in connection with an optional redemption in accordance with Condition 7(b) (Optional 

Redemption) (in which case each Class of Notes will be redeemed in full): (a) no payments of principal of the 

Class B Notes will be made until principal on the Senior Notes have been paid in full, (b) no payments of 

principal of the Class C Notes will be made until principal on the Senior Notes and the Class B Notes have been 

paid in full, (c) no payments of principal of the Class D Notes will be made until principal on the Senior Notes, 

the Class B Notes and the Class C Notes have been paid in full, (d) no payments of principal of the Class E 

29

Notes will be made until principal on the Senior Notes, the Class B Notes, the Class C Notes and the Class D 

Notes have been paid in full, and (e) no payments of principal of the Class N Notes will be made until the Senior 

Notes and each other Class of the Rated Notes have been paid in full. Failure to make any payment of principal 

on the Class B Notes, Class C Notes, Class D Notes, Class E Notes or the Class N Notes on any Payment Date 

(unless such Class of Notes are the most senior Class of Notes then Outstanding), in accordance with the 

Priorities of Payment, will not constitute an Issuer Event of Default until the Payment Date on which such 

principal may be paid in accordance with the Priorities of Payment. 

In the event of any redemption or repayment, as applicable, in whole or acceleration of the Senior Notes 

following the occurrence of an Issuer Event of Default, the Class B Notes, the Class C Notes, the Class D Notes, 

the Class E Notes and the Class N Notes will also be subject to automatic redemption/acceleration and the 

Portfolio will be liquidated. Liquidation of the Portfolio at such time or remedies pursued by the Trustee upon 

enforcement of the security over the Collateral could be adverse to the interests of the holders of the each other 

Class of Notes. Once such an Issuer Event of Default has occurred, the holders of each Class of Notes are not 

entitled to be paid until the holders of the more senior Classes of Notes then Outstanding have been paid in full, 

(in each case, together with certain other fees and expenses) in accordance with Condition 11(b) (Enforcement). 

In the event of any redemption or repayment in whole of the Senior Notes and the other Classes of Rated 

Notes pursuant to Condition 7(b) (Optional Redemption), the Class N Notes will also be redeemed and the 

Portfolio will be liquidated. Liquidation of the Portfolio at such time and/or the remedies pursued by the 

Trustee upon enforcement of the security over the Collateral could be adverse to the interests of the holders of 

the Class N Notes. 

The Trust Deed provides that in the event of any conflict of interest between the holders of any two or more 

Classes of Notes, the interests of the Controlling Class will prevail. The Trust Deed provides further that the 

Trustee will act upon the directions of the relevant Controlling Class in such circumstances. 

Noteholders’ Resolutions 

The Trust Deed includes provisions for the passing of resolutions of the Noteholders (whether at a 

Noteholders’ meeting by way of vote or by written resolution (“Resolutions”)) in respect of (among other 

matters) amendments to the Conditions of the Notes and/or the Transaction Documents. Such provisions 

include, among other things, (i) quorum requirements for the holding of Noteholders’ meetings and (ii) voting 

thresholds required to pass Resolutions at such meetings (or through written resolutions). The quorum required 

for a meeting of Noteholders (other than an adjourned meeting or a meeting of a particular Class) to pass an 

Extraordinary Resolution of all Noteholders is two or more persons holding or representing 66⅔ per cent. of the 

aggregate principal amount Outstanding of the Notes of each Class of those Notes represented at the meeting or 

at any adjourned meeting, two or more persons being or representing the holders of the Notes of each Class 

holding or representing 25 per cent. the principal amount of such Class of Notes Outstanding. Accordingly, it is 

likely that, at any meeting of the Noteholders, an Extraordinary Resolution may be passed with less than a 

majority of all the Noteholders of each Class. See Condition 14(a) (Meetings of Noteholders). 

In addition, resolutions of the Noteholders may be passed by writing if a resolution in writing is signed by 

or on behalf of the holders of not less than 66⅔ per cent. in principal amount of Notes Outstanding of a Class 

who for the time being are entitled to receive notice of a meeting for the passing of any Extraordinary 

Resolution. 

Mandatory Redemption 

In certain circumstances, including the breach of any of the Coverage Tests, Interest Proceeds that would 

otherwise have been used to pay interest on the Class B Notes, Class C Notes, Class D Notes, Class E Notes or 

Class N Notes (in the case of a breach of a Senior Coverage Test) or on the Class C Notes, Class D Notes, Class 

E Notes or Class N Notes (in the case of a breach of the Class B Overcollateralisation Ratio Test) or on the 

Class D Notes, Class E Notes or Class N Notes (in the case of a breach of the Class C Overcollateralisation 

Ratio Test) or on the Class E Notes or Class N Notes (in the case of a breach of the Class D 

Overcollateralisation Ratio Test) or the Class N Notes (in the case of a breach of the Class E 

Overcollateralisation Ratio Test) will instead be used to redeem or repay the Senior Notes and to redeem the 

Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes, in order of seniority to the extent 

necessary to restore the applicable Coverage Test to the minimum required level, as the case may be. 

30

The Collateral Manager will request each of Fitch and S&P to confirm, within 30 days after the Target 

Date, that it has not reduced or withdrawn the ratings respectively assigned by them on the Issue Date to any of 

the Senior Notes and the other Rated Notes. In the event of a Target Date Rating Downgrade at any time up to 

the Determination Date prior to the Payment Date next following the Target Date, Interest Proceeds (after 

payment of certain senior expenses pursuant to Condition 3(c) (Priorities of Payment)) and thereafter Principal 

Proceeds will be applied in accordance with the Priorities of Payment on such Payment Date and on each 

following Payment Date first in redemption and repayment, as applicable, of the Senior Notes and then in 

redemption of the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes, until each such 

Class of Notes has been redeemed and repaid, as applicable, in full or, in each case if earlier, until each of Fitch 

and S&P confirms that each such rating is reinstated. See Condition 7(c)(ii) (Redemption Following Target 

Date Rating Downgrade). 

Any of these events could result in an elimination, deferral or reduction in the interest payments or principal 

repayments made to the holders of the Class B Notes, Class C Notes, the Class D Notes, the Class E Notes 

and/or the Class N Notes, as the case may be, and also reduce the leverage ratio of the Class N Notes to each 

Class of Rated Notes, each of which could adversely impact the level of the returns to the holders of the Class N 

Notes. 

Optional Redemption 

Subject to the satisfaction of certain conditions described herein, the holders of 66⅔ per cent. of the 

principal amount Outstanding of the Class N Notes may require the redemption of the Notes on any Payment 

Date following the fifth anniversary of the Issue Date or on any Payment Date following the occurrence of a 

Collateral Tax Event. In addition, the Notes may be subject to optional redemption in certain other 

circumstances (see Condition 7(b) (Optional Redemption)). An optional redemption of the Notes could require 

the Collateral Manager to liquidate positions (including terminating the Hedge Agreements) more rapidly than 

would otherwise be desirable, which could adversely affect the value at which such securities can be realised or 

which may result in payments being required to be made by the Issuer pursuant to the Hedge Agreements to the 

extent they are out of the money to the Issuer, which may reduce the amount available to be paid to Noteholders. 

Volatility of the Class N Notes 

The Class N Notes represent a leveraged investment in the underlying Collateral Debt Securities. 

Accordingly, it is expected that changes in the market value of the Class N Notes will be greater than changes in 

the market value of the underlying Collateral Debt Securities, which themselves are subject to credit, liquidity, 

interest rate and other risks. Utilisation of leverage is a speculative investment technique and involves certain 

risks to investors. The indebtedness of the Issuer under the Notes will result in interest expense and other costs 

incurred in connection with such indebtedness that may not be covered by proceeds received from the 

Collateral. The use of leverage generally magnifies the Issuer’s opportunities for gain and risk of loss. 

The Portfolio 

None of the Issuer, the Arranger, the Initial Purchaser, the Custodian, the Collateral Manager, the Collateral 

Administrator, the Trustee, the Paying Agents, the Registrar, the Transfer Agents, the Capital Commitment 

Registrar, any Class A1A Noteholder, the Liquidity Facility Provider or any Hedge Counterparty has made any 

investigation into the obligors of the Collateral Debt Securities purchased on behalf of the Issuer. The value of 

the Collateral Debt Securities in the Portfolio may fluctuate from time to time (as a result of substitution or 

otherwise) and none of the Issuer, the Trustee, the Arranger, the Initial Purchaser, the Custodian, the Collateral 

Manager, the Paying Agents, the Registrar, the Transfer Agents, the Capital Commitment Registrar, any Class 

A1A Noteholder, the Liquidity Facility Provider, any Hedge Counterparty or the Collateral Administrator or any 

of their Affiliates is under any obligation to maintain the value of the Collateral Debt Securities purchased on 

behalf of the Issuer at any particular level, and none of them has any liability to the Noteholders as to the 

amount or value of, or any decrease in the value of, the Collateral Debt Securities purchased by the Issuer from 

time to time. 

Purchase of Collateral Debt Securities on or about the Issue Date 

The Issuer purchased or entered into binding commitments to purchase a substantial portion of the Portfolio 

on or about the Issue Date from the Initial Purchaser and the Collateral Manager and used the proceeds of the 

issuance of the Notes or drawings under the Class A1A Notes to settle such trades on or about the Issue Date. 

The prices paid for such Collateral Debt Securities at settlement on or about the Issue Date were in the currency 

31

the Issuer entered into the commitment to purchase such obligations and reflect the par value of such Collateral 

Debt Securities if acquired by the Initial Purchaser or the Collateral Manager in the primary market and reflect 

the market value of such Collateral Debt Securities on the date of acquisition by the Initial Purchaser or the 

Collateral Manager if acquired in the secondary market and in each case, may have been greater or less than 

their market value on or about the Issue Date. 

Unspecified Use of Proceeds 

Proceeds from the issue and sale of the Notes, as well as proceeds received from time to time in respect of 

Collateral Debt Securities previously purchased by the Collateral Manager on behalf of the Issuer and drawings 

under the Class A1A Notes will be invested in Collateral Debt Securities that may not have been identified by 

the Collateral Manager on the Issue Date. 

Purchasers of any of the Notes will not have an opportunity to evaluate for themselves the relevant 

economic, financial and other information regarding the investments to be made by the Collateral Manager (on 

behalf of the Issuer) and, accordingly, will be dependent upon the judgment and ability of the Collateral 

Manager in investing and managing the proceeds of the Notes and in identifying investments over time. No 

assurance can be given that the Collateral Manager (on behalf of the Issuer) will be successful in obtaining 

suitable investments (or in obtaining investments originated on terms and conditions similar to the origination 

terms applicable to investments acquired on the Issue Date) or that, if such investments are made, the objectives 

of the Issuer will be achieved. 

During the Reinvestment Period, the Collateral Manager, acting on behalf of the Issuer, may in certain 

circumstances acquire Additional Collateral Debt Securities satisfying the Eligibility Criteria and the 

Reinvestment Criteria. See “Description of the Portfolio” below. The Collateral Manager’s ability to meet such 

targets will depend on a number of factors beyond the Collateral Manager’s control including the condition of 

certain financial markets, general economic conditions and international political events and, thus, there can be 

no assurance that such targets will be met. In addition, to the extent Hedge Transactions are to be entered into, 

the Collateral Manager’s ability to enter into such additional Hedge Transactions upon the acquisition of certain 

Additional Collateral Debt Securities will also depend upon a number of factors outside the Collateral 

Manager’s control including its ability to identify a suitable Hedge Counterparty with whom to enter into 

additional Hedge Transactions. In the event that the Collateral Manager (acting on behalf of the Issuer) by 

notice certifies to the Issuer and the Trustee that it has been unable to identify Additional Collateral Debt 

Securities that are deemed appropriate by the Collateral Manager (in its discretion and acting on behalf of the 

Issuer) and which meet the Eligibility Criteria or, to the extent applicable, the Reinvestment Criteria, in 

sufficient amounts to permit the investment or reinvestment of all or a portion of the funds then in the Principal 

Collection Account that are to be invested in Additional Collateral Debt Securities, a Special Redemption of the 

Notes may occur pursuant to Condition 7(d) (Redemption at the Option of the Collateral Manager) or the Issuer, 

with the requisite consent of the Class N Noteholders, may terminate the Reinvestment Period before the 

Payment Date falling in July 2013. Any failure by the Collateral Manager, acting on behalf of the Issuer, to 

enter into required additional Hedge Transactions or to meet the targets referred to above could result in interest 

rate or currency mismatches or a Special Redemption of a portion of the Notes or, if the Reinvestment Period is 

terminated earlier at the option of the Issuer, an earlier than anticipated redemption of the Notes, which could 

adversely affect the Issuer’s ability to fund its expenditure and reduce the leverage ratio of the Class N Notes to 

each Class of Rated Notes, each of which could adversely affect the level of returns to the holders of the Class N 

Notes. 

Nature of Collateral 

The Collateral is subject to credit, liquidity, interest rate, equity and, in some cases, non-credit related risks. 

It is expected that substantially all of the Collateral Debt Securities which secure the Notes will be Bank Loans, 

Mezzanine Loans, Second Lien Loans, CLO Securities, Special Debt Securities and Synthetic Securities (or 

participations or sub-participations thereof) borrowed or issued by various obligors denominated in Euro (or in 

one of the predecessor currencies of a European Union member state which has since adopted the Euro as its 

currency) or in Sterling and that such Bank Loans, Mezzanine Loans, Second Lien Loans, CLO Securities, 

Special Debt Securities and Synthetic Securities will be rated below investment grade, all of which have greater 

credit and liquidity risk than investment grade debt obligations. 

In addition, a portion of the Collateral will be acquired by the Collateral Manager, on behalf of the Issuer, 

after the Issue Date, and, accordingly, the financial performance of the Issuer may be affected by the price and 

availability of Collateral to be purchased that will satisfy the constraints set out below under “Description of the 

32

Portfolio—Eligibility Criteria” and “Description of the Portfolio—Reinvestment Criteria”. The amount and 

nature of Collateral securing the Notes have been established to withstand certain assumed deficiencies in 

payment resulting from defaults in respect of the Collateral Debt Securities. See “Rating of the Notes”. If any 

deficiencies exceed such assumed levels, however, payment of the Notes could be adversely affected. If a 

default occurs with respect to any Collateral Debt Security securing the Notes and the Collateral Manager, on 

behalf of the Issuer (acting on the advice of the Collateral Manager) sells or otherwise disposes of such 

Collateral Debt Security, it is not likely that the proceeds of such sale or disposition will be equal to the amount 

of principal and interest owing to the Issuer in respect of such Collateral Debt Security. If the Collateral 

Manager, on behalf of the Issuer is unable to acquire Collateral that satisfies the constraints set out below under 

“Description of the Portfolio—Eligibility Criteria” and “Description of the Portfolio—Reinvestment Criteria”, 

the Issuer may not be able to satisfy one or more of the Coverage Tests, which could result in prepayment of the 

Notes. 

The market value of the Collateral Debt Securities in the Portfolio will generally fluctuate with, among 

other things, the financial condition of the obligors on or issuers of the Collateral Debt Securities or, with 

respect to Synthetic Securities, of the obligors on or issuers of the Reference Obligations, general economic 

conditions, the condition of certain financial markets, political events, developments or trends in any particular 

industry and changes in prevailing interest rates. The public markets for non-investment grade corporate debt 

securities have in the past experienced periods of volatility and periods of reduced liquidity. Changes in the 

market value of the Collateral Debt Securities in the Portfolio generally do not affect the Issuer’s interest or 

principal collections. However, a decrease in the market value of the Collateral Debt Securities in the Portfolio 

would adversely affect the sale proceeds that could be obtained upon the sale of the Collateral Debt Securities in 

the Portfolio and could ultimately affect the ability of the Issuer to pay in full or redeem the Notes. 

The ability of the Collateral Manager, on behalf of the Issuer to sell Collateral Debt Securities in the 

Portfolio prior to maturity is subject to certain restrictions in the Collateral Management Agreement as described 

below under “Description of the Portfolio—Sale of Collateral Debt Securities and Reinvestment Criteria”. If a 

Collateral Debt Security is sold or principal payments are received in respect of a Collateral Debt Security, the 

Collateral Manager may at times be unable to identify a suitable substitute investment or the Collateral 

Manager, on behalf of the Issuer may be unable to purchase a suitable substitute investment in periods of market 

volatility or disruption or for any number of other reasons, including the constraints set out below under 

“Description of the Portfolio—Eligibility Criteria” and “Description of the Portfolio—Reinvestment Criteria”. 

Bank Loans; Mezzanine Loans; Second Lien Loans. The Collateral Debt Securities in the Portfolio may 

include Bank Loans lent predominantly to a variety of European borrowers which are rated below investment 

grade. Such loans are of a type generally incurred by the borrowers thereunder in connection with highly 

leveraged transactions, often (although not exclusively) to finance internal growth, acquisitions, mergers, or 

recapitalisations. As a result of the additional debt incurred by the borrower in the course of such a transaction, 

the borrower’s creditworthiness is often judged by the rating agencies to be below investment grade. 

The Collateral Debt Securities in the Portfolio may include Mezzanine Loans and Second Lien Loans lent 

predominantly to a variety of European borrowers which are rated below investment grade. Mezzanine finance 

generally comprises a secured loan which is subordinated in terms of priority of repayment and security behind 

the senior debt and therefore has a higher risk profile than senior debt. Because of the greater risk, mezzanine 

lenders may be granted share options or warrants in the borrower which can be exercised in certain 

circumstances, principally being immediately prior to the borrower’s shares being sold or floated in an initial 

public offering. 

Many of the Bank Loans, Mezzanine Loans and Second Lien Loans purchased by the Collateral Manager, 

on behalf of the Issuer will have no, or only a limited, trading market. The Collateral Manager, on behalf of the 

Issuer may purchase Bank Loans, Mezzanine Loans and Second Lien Loans that are significantly less liquid 

than bank loans typically made to investment grade borrowers. Although the Collateral Manager, on behalf of 

the Issuer does not generally intend to dispose of Bank Loans, Mezzanine Loans and Second Lien Loans prior to 

their maturity, the Issuer’s investment in illiquid Bank Loans, Mezzanine Loans and Second Lien Loans may 

restrict its ability to dispose of investments in a timely fashion and for a fair price. Illiquid Bank Loans, 

Mezzanine Loans and Second Lien Loans may trade at a discount to comparable, more liquid investments. In 

addition, because of the provision of confidential information, the unique and customised nature of a loan 

agreement and the private syndication of a loan, certain Bank Loans, Mezzanine Loans and Second Lien Loans 

may not be purchased or sold as easily as publicly traded securities, particularly as a result of the increased 

degree of complexity in negotiating a secondary market purchase or sale, which complexity does not exist, for 

example, in the high yield bond market. Historically, the trading volume in the bank loan market has been small 

33

elative to the high yield bond market. Bank Loans, Mezzanine Loans and Second Lien Loans may encounter 

trading delays due to their unique and customised nature and transfers may be prohibited without the consent of 

an agent bank or borrower. 

Bank Loans, Mezzanine Loans and Second Lien Loans may become non-performing for a variety of 

reasons. Such non-performing Bank Loans, Mezzanine Loans and Second Lien Loans may require substantial 

workout negotiations or restructuring that may entail, among other things, a substantial reduction in the interest 

rate, a substantial write down of the principal of the loan and/or the deferral of payments. In addition, the Issuer 

may incur additional expenses to the extent it is required to seek recovery upon a default on a Bank Loan or 

Mezzanine Loan or Second Lien Loans or participate in the restructuring of such obligation. Although the 

Collateral Manager may exercise voting rights with respect to an individual Bank Loan or Mezzanine Loan or 

Second Lien Loan on behalf of the Issuer, there can be no certainty that the Collateral Manager will be able to 

exercise votes in respect of a sufficient percentage of voting rights with respect to such Bank Loan or 

Mezzanine Loan or Second Lien Loan to determine the outcome of such vote. 

Should increases in default rates occur with respect to this type of collateral, the actual default rates of the 

Collateral Debt Securities in the Portfolio may exceed the hypothetical default rates assumed by investors in 

determining whether to purchase any of the Notes. In addition, recoveries of Defaulted Collateral Debt 

Securities may be lower than the hypothetical default rates assumed by investors in determining whether to 

purchase any of the Notes. 

Special Debt Securities. The Collateral Debt Securities in the Portfolio will include Special Debt Securities 

(including Synthetic Securities, the Reference Obligations of which are Special Debt Securities), which have 

been or will be issued by a variety of predominantly European issuers. The Special Debt Securities consist of 

loans which are senior or subordinated unsecured loan obligations, including a Synthetic Security whose 

Reference Obligation is a senior or subordinated unsecured loan obligation other than (a) a Bank Loan; (b) a 

Mezzanine Loan; (c) a Second Lien Loan and (d) a CLO Security. 

Special Debt Securities rated below investment grade have greater credit and liquidity risk than investment 

grade obligations. Special Debt Securities may be unsecured and may be subordinated to other obligations of 

the issuer thereof. The lower ratings of obligations in the non-investment grade market reflect a greater 

possibility that adverse changes in the financial condition of an issuer of such obligations or in general economic 

conditions or both may impair the ability of such issuer to make payments of principal and interest. 

Special Debt Securities are likely to experience greater default rates than investment grade assets. Although 

studies have been made of historical default rates in the non-investment grade market, such studies do not 

necessarily provide a basis for drawing definitive conclusions with respect to default rates and, in any event, do 

not necessarily provide a basis for predicting future default rates. Should increases in default rates occur with 

respect to this type of collateral, the actual default rates of the Collateral Debt Securities in the Portfolio may 

exceed the hypothetical default rates assumed by investors in determining whether to purchase any of the Notes. 

Risks of Special Debt Securities may include (among others): (a) limited liquidity and secondary market 

support, (b) substantial market price volatility resulting from changes in prevailing interest rates, (c) 

subordination to the prior claims of banks and other senior lenders, (d) the operation of mandatory sinking fund 

or call/redemption provisions during periods of declining interest rates that could cause the Issuer to reinvest 

premature redemption proceeds in lower yielding Collateral Debt Securities, (e) the possibility that earnings of 

the Special Debt Security issuer may be insufficient to meet its debt service and (f) the declining 

creditworthiness and potential for insolvency of the issuer of such Special Debt Security during periods of rising 

interest rates and economic downturn. An economic downturn or an increase in interest rates could severely 

disrupt the market for Special Debt Securities and adversely affect the value of outstanding Special Debt 

Securities and the ability of the issuers thereof to repay principal and interest. 

Issuers of Special Debt Securities may be highly leveraged and may not have available to them more 

traditional methods of financing. The risk associated with acquiring the securities of such issuers generally is 

greater than is the case with highly rated assets. The prices of Special Debt Securities are likely to be more 

sensitive to adverse economic changes or individual corporate developments than higher rated assets. For 

example, during an economic downturn or a sustained period of rising interest rates, issuers of Special Debt 

Securities may be more likely to experience financial stress, especially if such issuers are highly leveraged. 

During such periods, timely service of debt obligations may also be adversely affected by specific issuer 

developments, the issuer’s inability to meet specific projected business forecasts or the unavailability of 

additional financing. The risk of loss due to default by the issuer is significantly greater for the holders of 

34

Special Debt Securities because such assets may be unsecured and may be subordinated to other creditors of the 

issuer of such assets. In addition, the Issuer may incur additional expenses to the extent it is required to seek 

recovery upon a default on a Special Debt Security or participate in the restructuring of such obligation. 

As a result of the limited liquidity of Special Debt Securities, their prices have at times experienced 

significant and rapid decline. In addition, the Issuer may have difficulty disposing of certain Special Debt 

Securities because there may be a thin trading market for such assets. To the extent that a secondary trading 

market for below investment grade Special Debt Securities does exist, it is generally not as liquid as the 

secondary market for highly rated assets. Under adverse market or economic conditions, the secondary market 

for Special Debt Securities could contract further, independent of any specific adverse changes in the condition 

of a particular issuer. Reduced secondary market liquidity may have an adverse impact on market price and the 

Issuer’s ability to dispose of particular assets when necessary to meet the Issuer’s liquidity needs or in response 

to a specific economic event such as deterioration in the creditworthiness of the issuer of such securities. 

Reduced secondary market liquidity for certain Special Debt Securities may also make it more difficult for the 

Issuer to obtain accurate market quotations for the purposes of valuing the Issuer’s portfolio. Market quotations 

are generally available on many Special Debt Securities only from a limited number of dealers and may not 

necessarily represent firm bids of such dealers of prices for actual sales. 

Adverse publicity and investor perceptions, which may not be based on fundamental analysis, may also 

decrease the market value and liquidity of Special Debt Securities, particularly in a thinly traded market. 

CLO Securities. The Collateral Manager on behalf of the Issuer may from to time acquire CLO Securities 

which may be backed by a combination of Bank Loans, Mezzanine Loans, Second Lien Loans and other 

securities already acquired by the Collateral Manager on behalf of the Issuer. In the event of a poor 

performance of such Bank Loans, Mezzanine Loans, Second Lien Loans and other securities backing such CLO 

Securities, collections on the Portfolio would be doubly affected as not only will the collections on the relevant 

Bank Loans, Mezzanine Loans, Second Lien Loans and other securities be reduced, it is also likely that the poor 

performance of such Bank Loans, Mezzanine Loans, Second Lien Loans and other securities will have an 

adverse impact on the related CLO Security thereby leading to reduced collection by the Issuer from each such 

related CLO Security. 

Synthetic Securities. The Collateral Debt Securities in the Portfolio may include Synthetic Securities. 

Synthetic Securities generally involve the Issuer entering into contracts with counterparties. Pursuant to such 

contracts, the counterparties agree to make payments to the Issuer under certain circumstances as described 

therein, which payments are linked to the performance of obligations which are themselves Special Debt 

Securities, CLO Securities, Bank Loans or Mezzanine Loans or Second Lien Loans (“Reference Obligations”). 

Investments in such types of assets through the purchase of Synthetic Securities present risks in addition to those 

resulting from direct purchases of such Collateral Debt Securities. With respect to each Synthetic Security, the 

Issuer will usually have a contractual relationship only with the counterparty of such Synthetic Security and not 

the underlying debtor (the “Reference Obligor”) in respect of the Reference Obligation. The Issuer generally 

will have no right directly to enforce compliance by the Reference Obligor with the terms of the Reference 

Obligation nor any rights of set off against the Reference Obligor (and may be subject to set off rights exercised 

by the Reference Obligor against the counterparty or another person or entity), nor have any voting or other 

consensual rights of ownership with respect to the Reference Obligation (except where such Reference 

Obligation has been transferred to the Issuer as collateral). The Issuer will not directly benefit from any 

collateral supporting the Reference Obligation and will not have the benefit of the remedies that would normally 

be available to a holder of such Reference Obligation. In addition, in the event of the insolvency of the 

counterparty, the Issuer may be treated as a general creditor of such counterparty, and may not have any claim 

with respect to the Reference Obligation. Consequently, the Issuer will be subject to the credit risk of the 

counterparty as well as that of the Reference Obligor. As a result, concentrations of Synthetic Securities entered 

into with any one counterparty will subject the Notes to an additional degree of risk with respect to defaults by 

such counterparty as well as by the Reference Obligor. The Initial Purchaser and/or one or more Affiliates of 

the Initial Purchaser may act as counterparty with respect to some or all of the Synthetic Securities, which 

relationship may create certain conflicts of interest. See “Certain Conflicts of Interest” below. Fitch or S&P 

may downgrade any Class of Notes rated by it at such time if a counterparty to a material portion of the 

Synthetic Securities held by the Issuer has been downgraded by Fitch or S&P, respectively, below the then 

current rating of such Notes. Before any Synthetic Security may be included as a Collateral Debt Security, each 

Rating Agency must confirm in writing prior to the date of such purchase that such Synthetic Security may be 

included as a Collateral Debt Security without adversely affecting its then current rating, if any, of any Class of 

Notes. 

35

While the Issuer expects that the returns on a Synthetic Security will generally reflect those of the related 

Reference Obligation, as a result of the terms of the Synthetic Security and the assumption of the credit risk of 

the applicable Synthetic Security Obligor, a Synthetic Security may have a different expected return, a different 

(and potentially greater) probability of default, a different (and potentially greater) expected loss characteristic 

following a default, and a different (and potentially lower) expected recovery following default. 

Additionally, when compared to the Reference Obligation, the terms of a Synthetic Security may provide 

for different maturities, currency, payment dates, interest rates, interest rate references, credit exposures, or 

other credit or non-credit related characteristics. Subject to Rating Agency Confirmation, a Synthetic Security 

may also involve leveraged exposure to the related Reference Obligation. Upon default on a Reference 

Obligation, or in certain circumstances, default or other actions by an obligor of a Reference Obligation, the 

terms of the relevant Synthetic Security may permit or require the Synthetic Security Obligor to satisfy its 

obligations under the Synthetic Security by delivering to the Issuer the Reference Obligation or an amount equal 

to the then current market value of the Reference Obligation. 

Furthermore, prospective investors in the Notes should note that although a Synthetic Security must meet 

the Eligibility Criteria, its Reference Obligation does not need to satisfy all of the requirements of the Eligibility 

Criteria and, in particular, that the Reference Obligation does not need to be a Euro denominated instrument and 

does not need to satisfy the maturity limitations set out in the Eligibility Criteria. Since Reference Obligations 

are not required to be denominated in Euro, the Issuer may be required to take delivery of a non-Euro 

denominated security or of a currency other than Euro, exposing the Issuer to exchange rate fluctuations. 

Moreover, if the Reference Obligation is delivered to the Issuer and such Reference Obligation does not satisfy 

the Eligibility Criteria when delivered, the Issuer will not be permitted to include such Reference Obligation as a 

Collateral Debt Security for the purposes of the Collateral Quality Tests, the Coverage Tests or the 

Reinvestment Criteria. 

The Issuer may acquire Synthetic Securities which are linked to the performance of other Synthetic 

Securities. 

It should also be noted that Synthetic Securities have a limited liquidity and the Issuer may have difficulty 

disposing of Synthetic Securities because there may not be a trading market for such assets and this could 

indirectly affect the ability of the Issuer to make payments on the Notes. 

Participations and Transfers. The Issuer may acquire interests in Collateral Debt Securities which are 

loans either directly (by way of novation, sale or assignment) or indirectly (by way of participation or subparticipation 

or through the acquisition of Synthetic Securities). Each institution from which such an interest is 

acquired is referred to in this section titled “Risk Factors” only as a Selling Institution. Interests in loans 

acquired directly by way of novation, sale or assignment are referred to herein as “Transfers”. Interests in 

loans acquired indirectly by way of participation or sub-participation are referred to herein as “Participations”. 

The purchaser of a Transfer typically succeeds to all the rights of the assigning Selling Institution and 

becomes entitled to the benefit of the loans and the other rights of the lender under the loan agreement. The 

Issuer as an assignee will generally have the right to receive directly from the borrower all payments of principal 

and interest to which it is entitled, provided notice of such Transfer has been given to the borrower. As a 

purchaser of a Transfer, the Issuer typically will have the same voting rights as other lenders under the 

applicable loan agreement and will have the right to vote to waive enforcement of breaches of covenants. The 

Issuer will also have the same rights as other lenders to enforce compliance by the borrower with the terms of 

the loan agreement, to set off claims against the borrower and to have recourse to collateral supporting the loan. 

As a result, the Issuer will generally not bear the credit risk of the Selling Institution and the insolvency of the 

Selling Institution should have little effect on the ability of the Issuer to continue to receive payment of principal 

or interest from the borrower. The Issuer will, however, assume the credit risk of the borrower. 

Participations by the Issuer in a Selling Institution’s portion of the loan typically results in a contractual 

relationship only with such Selling Institution and not with the borrower under such loan. The Issuer would, in 

such case, have the right to receive payments of principal and interest to which it is entitled only upon receipt by 

the Selling Institution of such payments from the borrower. In purchasing Participations, the Issuer generally 

will have no right to enforce compliance by the borrower with the terms of the applicable loan agreement, nor 

any rights of set off against the borrower and the Issuer may not directly benefit from the collateral supporting 

the loan in respect of which it has purchased a Participation. As a result, the Issuer will assume the credit risk of 

both the borrower and the Selling Institution selling the Participation. In the event of the insolvency of the 

Selling Institution selling a Participation, the Issuer may be treated as a general creditor of the Selling Institution 

36

and may not benefit from any set off between the Selling Institution and the borrower and the Issuer may suffer 

a loss to the extent that the borrower may set off claims against the Selling Institution. The Collateral Manager, 

on behalf of the Issuer may purchase a Participation from a Selling Institution that does not itself retain any 

economic exposure in respect of the loan and, therefore, may have limited interest in monitoring the terms of the 

loan agreement and the continuing creditworthiness of the borrower. When the Issuer holds a Participation in a 

loan it generally will not have the right to vote to waive enforcement of any covenants breached by a borrower. 

However, most participation agreements provide that the Selling Institution may not vote in favour of any 

amendment, modification or waiver that forgives principal or interest, reduces principal or interest that is 

payable, postpones any payment of principal (other than a mandatory prepayment) or interest or releases 

substantially all of the collateral without the consent of the participant at least to the extent the participant would 

be affected by any such amendment, modification or waiver. A Selling Institution voting in connection with a 

potential waiver of a restrictive covenant may have interests which are different to those of the Issuer and such 

Selling Institutions are not required to consider the interest of the Issuer in connection with the exercise of its 

votes. An investment by the Issuer in a Synthetic Security related to a Collateral Debt Security involves many 

of the same considerations relevant to Participations. See “Synthetic Securities” below. 

Securities Lending. The Collateral Manager may from time to time and on an ancillary basis, lend 

Collateral Debt Securities comprising part of the Portfolio to banks, broker dealers or other financial institutions 

that qualify as a professional market party for Dutch regulatory purposes and have a short term senior unsecured 

debt rating of at least “F1” by Fitch and “A-1+” by S&P and a long term senior unsecured debt rating of at least 

“A+” by Fitch (in such capacity, a “Securities Lending Counterparty”) pursuant to one or more agreements in 

pre-agreed forms to be entered into between the Issuer and the Securities Lending Counterparty from time to 

time (each, a “Securities Lending Agreement”). Such loans will be required to be secured by collateral in an 

amount equal to at least 102 per cent. of the market value of the Collateral Debt Securities, determined daily. 

However, in the event that the borrower of a loaned Collateral Debt Security defaults on its obligation to return 

such loaned Collateral Debt Security because of insolvency or otherwise, the Issuer could experience delays and 

costs in gaining access to the collateral posted by the borrower (and in extreme circumstances could be restricted 

from selling the collateral). In the event that the borrower defaults, the Noteholders could suffer a loss to the 

extent that the realised value of the cash or securities securing the obligation of the borrower to return a loaned 

Collateral Debt Security (less expenses) is less than the amount required to purchase such Collateral Debt 

Securities in the open market. This shortfall could be due to, among other things, discrepancies between the 

mark to market and actual transaction prices for the loaned Collateral Debt Securities arising from limited 

liquidity or availability of the loaned Collateral Debt Securities and, in extreme circumstances, the loaned 

Collateral Debt Securities being unavailable at any price. The Rating Agencies may downgrade any of the 

Senior Notes or the other Rated Notes if a borrower of a Collateral Debt Security or, if applicable, the entity 

guaranteeing the performance of such borrower, has been downgraded by any of the Rating Agencies such that 

the Issuer is not in compliance with the Securities Lending Counterparty required ratings. In the event that 

either of the Initial Purchaser and/or one or more of any of their Affiliates, with acceptable credit support 

arrangements borrow Collateral Debt Securities, this may create certain conflicts of interest. 

PIK Securities. PIK Securities may not pay current interest in cash; all or part of a PIK Security’s interest 

may be deferred or capitalised and added to principal or paid by the issuance of a further obligation. 

Collateral Reinvestment Provisions 

During the Reinvestment Period, the Collateral Manager will have discretion to reinvest Principal Proceeds, 

Sale Proceeds, Uninvested Proceeds, amounts standing to the credit of the Initial Proceeds Account, the 

Additional Collateral Account and the Sterling Additional Collateral Account and, in certain circumstances, 

Interest Proceeds in Additional Collateral Debt Securities and additional Eligible Investments, in each case in 

compliance with the Reinvestment Criteria. The ability of the Issuer to obtain Additional Collateral Debt 

Securities, and the interest rates and terms on which such Additional Collateral Debt Securities can be obtained, 

as well as the interest rates and other terms in connection with the investment of funds in Eligible Investments, 

may affect the timing and amount of payments to the holders of the Notes. Any adverse impact of such 

reinvestment (or lack thereof) of such amounts and the interest rates on such Additional Collateral Debt 

Securities and Eligible Investments will be borne first by the holders of the Class N Notes, then by holders of 

the Class E Notes, then by the holders of the Class D Notes, then by the holders of the Class C Notes, then by 

the holders of the Class B Notes and then by the holders of the Senior Notes. The impact, including any adverse 

impact, of such disposal or potential reinvestment on the holders of the Class N Notes will be magnified by the 

leveraged nature of the Class N Notes. See “Description of the Portfolio”. 

37

Investment and Repayment of Payments under the Class A1A Notes 

During the Ramp-Up Period and the Reinvestment Period, provided that the conditions to funding are met, 

the Issuer (acting through the Collateral Manager) may draw on the Class A1A Notes and invest the proceeds in 

the acquisition of Additional Collateral Debt Securities which satisfy the Eligibility Criteria and in accordance 

with the Reinvestment Criteria. 

To the extent the Principal Proceeds remain uninvested during the Reinvestment Period, such amount may 

be used to repay outstanding fundings under the Class A1A Notes as set out in the Priorities of Payment. The 

ability to draw upon the Class A1A Notes may be cancelled in certain situations (see “Description of the Class 

A1A Note Purchase Agreement” below), in which event the principal so repaid will cease to be available for 

reinvestment. The impact of the cancellation of the ability to draw under the Class A1A Notes may adversely 

impact the holders of the Class N Notes due to the leveraged nature of the Class N Notes. 

The Issuer will be exposed to credit risk in respect of the Class A1A Noteholders with respect to any 

Drawing required to be made to the Issuer by the Class A1A Noteholders. The Issuer will depend upon each 

Class A1A Noteholder to perform its obligations pursuant to the terms of the Class A1A Notes. If a Class A1A 

Noteholder defaults or becomes unable to perform its obligations pursuant to the terms and conditions of the 

Class A1A Notes, due to insolvency or otherwise, the Issuer may not receive funding to which it would 

otherwise be entitled, which may in turn affect the ability of the Issuer to invest in further Collateral Debt 

Securities which could in turn impact on the ability of the Issuer to repay the Notes. 

The entitlement of the Noteholders in respect of the exercise of remedies under the terms and conditions of 

the Notes if an Issuer Event of Default occurs thereunder and the exercise of certain other voting rights will be 

determined by reference to the aggregate principal amount of the Notes Outstanding. For the purposes of 

calculating the voting rights of the Class A1A Noteholders, it will be by reference to the Total Commitments 

rather than the Total Outstandings. 

Each Class A1A Noteholder or its guarantor, as applicable, will be required to meet the Rating Requirement 

on the Issue Date. There can be no assurance that any Class A1A Noteholder or its guarantor, as applicable, will 

maintain the Rating Requirement. If at any time the Class A1A Noteholder or its guarantor, as applicable, fails 

to maintain the Rating Requirement, it is required to take remedial action pursuant to the Class A1A Note 


Pursuant to the Class A1A Note Purchase Agreement, the Class A1A Notes are also subject to additional 

transfer restrictions which will not apply to the other Notes, e.g. transferees of the Class A1A Notes will be 

required to meet with the Rating Requirement. Such restrictions are more particularly described in the Class 

A1A Note Purchase Agreement. 

Concentration Risk 

Payments in respect of the Notes could be impacted by the concentration of the Collateral Debt Securities in 

the Portfolio in any one area, country, obligor or industry with respect to collateral defaults. The obligors under 

certain Collateral Debt Securities in the Portfolio may be incorporated or operating in jurisdictions other than 

those which have adopted the Euro as their currency. Changes in the exchange rate between foreign currencies 

and the Euro and changes in the economies of the European jurisdictions which have adopted the Euro and other 

jurisdictions (including non-European jurisdictions) may therefore affect defaults on such Collateral Debt 

Securities disproportionately. In addition, although Synthetic Securities must be denominated in Euro or 

Sterling, the Reference Obligations underlying Synthetic Securities may be denominated in a currency other 

than Euro or Sterling. As such, the value of such Synthetic Securities may be adversely affected by fluctuations 

and devaluations of the currency in which the Reference Obligation is denominated. 

Illiquidity of Collateral Debt Securities 

Many of the Collateral Debt Securities purchased by the Collateral Manager, on behalf of the Issuer will 

have no, or only a limited, trading market. The Issuer’s investment in illiquid Collateral Debt Securities may 

restrict its ability to dispose of investments in a timely fashion and at a market price which is at or above par as 

well as its ability to take advantage of market opportunities, although the Issuer is generally prohibited by the 

Collateral Management Agreement from selling Collateral Debt Securities, except under certain limited 

circumstances described under “Description of the Portfolio—Sale of Collateral Debt Securities and 

Reinvestment Criteria”. Illiquid Collateral Debt Securities may trade at a discount from comparable, more 

38

liquid investments. In addition, the Collateral Manager, on behalf of the Issuer may invest in privately placed 

Collateral Debt Securities that may or may not be freely transferable under the laws of the applicable 

jurisdiction or due to contractual restrictions on resale, and even if such privately placed Collateral Debt 

Securities are transferable, the prices realised from their sale could be less than those originally paid by the 

Issuer or less than what may be considered the fair value of such securities. 

The financial markets have experienced substantial fluctuations in prices for non-investment grade debt 

securities and loans and limited liquidity for such obligations. No assurance can be given that the conditions 

giving rise to such price fluctuations and limited liquidity will not occur following the Issue Date. During 

periods of limited liquidity and higher price volatility, the Issuer’s ability to acquire or dispose of Collateral 

Debt Securities at a price and time that the Issuer deems advantageous may be impaired. As a result, in periods 

of rising market prices, the Issuer may be unable to participate in price increases fully to the extent that it is 

unable to acquire desired positions quickly and the Issuer’s inability to dispose fully and promptly of positions 

in declining markets may exacerbate losses suffered by the Issuer when Collateral Debt Securities in the 

Portfolio are sold. A decrease in the market value of the Collateral Debt Securities in the Portfolio would also 

adversely affect the sale proceeds that could be obtained upon the sale of the Collateral Debt Securities and 

could ultimately affect the ability of the Issuer to pay in full or redeem the Notes, including the ability of the 

Issuer to pay in full or redeem the Class N Notes pursuant to the right of optional redemption set out in 

Condition 7(b)(i)(A) (Redemption at the Option of the Class N Noteholders) or otherwise. There can be no 

assurance that, upon any such redemption, the proceeds realised would permit any payment on the Class N 

Notes after required payments are made in respect of the Senior Notes, the Class B Notes, the Class C Notes, the 

Class D Notes and the Class E Notes and the other creditors of the Issuer which rank in priority thereto pursuant 

to the Priorities of Payment. 

Insolvency Considerations with respect to Issuers and Borrowers of Collateral Debt Securities 

The Collateral Debt Securities in the Portfolio may be subject to various laws enacted for the protection of 

creditors in the jurisdictions of incorporation of obligors and, if different, the jurisdictions from which the 

obligors conduct their business and in which they hold their assets. These insolvency considerations will differ 

depending on the country in which each obligor or its assets is located and may differ depending on whether the 

obligor is a non-sovereign or a sovereign entity. 

Certain Conflicts of Interest 

Collateral Manager. Various potential and actual conflicts of interest may arise from the overall 

investment activities of the Collateral Manager and its Affiliates. The following briefly summarises some of 

these conflicts, but is not intended to be an exhaustive list of all such conflicts. 

The Collateral Manager and its Affiliates may invest for their own account or for the account of others in 

securities or loans that may be appropriate as security for the Notes and in doing so neither the Collateral 

Manager nor any such Affiliate shall have any duty in making such investments or to act in a way that is 

favourable to the interests of the Issuer or the holders of the Notes. Such investments may be the same as or 

different from those made on behalf of the Issuer. The Collateral Manager may engage in negotiations leading 

to the restructuring of investments held for its own account. If such investments are also held by the Issuer, in 

entering into such negotiations, neither the Collateral Manager nor any of its Affiliates will have any duty to act 

in any way which is favourable to the interests of the Issuer or the holders of the Notes. 

The Collateral Manager and its Affiliates may also have ongoing relationships in the ordinary course of 

business with companies whose securities or loans secure the Notes and may underwrite or own debt or equity 

securities issued by, or loans of, obligors of Collateral Debt Securities or other obligations forming part of the 

Portfolio. In addition, Affiliates and clients of the Collateral Manager may invest in securities and loans that are 

senior to, or have interests different from or adverse to, the securities and loans that secure the Notes. 

The Collateral Manager and its Affiliates may also serve as a general partner and/or manager of limited 

partnerships or limited liability companies organised to issue collateralised debt obligations or collateralised 

loan obligations secured by debt obligations. At the same time as the Collateral Manager is seeking investments 

for purchase by the Issuer, the Collateral Manager or its Affiliates may simultaneously be seeking investments 

for purchase by entities similar to the Issuer for which any of them act as manager or adviser (“Related 

Entities”), for purchase by their clients or for purchase on their own account or that of any of their Affiliates. 

39

In its capacity as Collateral Manager, the Collateral Manager and/or its Affiliates may engage in other 

businesses and furnish investment management services to Related Entities whose investment policies differ 

from those followed by the Collateral Manager on behalf of the Issuer as required by the Collateral Management 

Agreement. In such capacity, the Collateral Manager may effect transactions which differ from those effected 

with respect to the Collateral for the Notes. In addition, the Collateral Manager may, from time to time, cause 

or direct Related Entities to buy or sell or may recommend to Related Entities the buying and selling of debt 

obligations of the same or of a different kind or class of the same obligor, as Collateral Debt Securities or other 

obligations which are part of the Portfolio which the Collateral Manager purchases or sells on behalf of the 

Issuer. Accordingly, conflicts may arise regarding the allocation of investment opportunities amongst the Issuer 

and the Related Entities. Situations may occur where the Issuer could be disadvantaged because of the 

investment activities conducted by the Collateral Manager for the Related Entities. It should be noted that the 

Collateral Management Agreement places significant restrictions on the Collateral Manager’s ability to buy and 

sell obligations comprising the Portfolio on which the Notes are secured and, accordingly, during certain periods 

or in certain specified circumstances, the Collateral Manager may be unable to buy or sell obligations which 

either form or are intended to form part of the Portfolio or to take other actions which it might consider to be in 

the best interests of the Issuer and the Noteholders. 

Although the principals and employees of the Collateral Manager will devote as much time to the Issuer as 

the Collateral Manager deems appropriate, such principals and employees may have conflicts in allocating their 

time and services among the Issuer and the Collateral Manager’s other accounts and businesses. 

The Collateral Manager and its Affiliates may, in the conduct of their respective businesses, receive or 

become aware of price sensitive information which is not generally available to the public that may restrict the 

Collateral Manager from purchasing or selling securities for itself or its clients (including the Issuer) or 

otherwise using such information for the benefit of its clients or itself. The Collateral Management Agreement 

contains provisions which absolve the Collateral Manager from any responsibility for its failure to act in relation 

to the administration of the Portfolio in circumstances where it or any of its Affiliates are in receipt of price 

sensitive information and where in the opinion of the Collateral Manager investment by the Collateral Manager 

on behalf of the Issuer might breach the provisions of insider dealing legislation or laws to which it or the Issuer 

are subject. 

The Collateral Manager may in the future serve as a manager of other Related Entities organised to issue 

collateralised debt obligations or collateralised loan obligations secured by high yield debt securities, loans 

and/or other obligations or securities. 

On the Issue Date, Investec and/or one or more of its Affiliates acquired 25 per cent. of the principal 

amount of the Class N Notes Outstanding. Investec and/or any fund, partnership, trust, company or any entity 

with respect to which it acts as investment manager will not acquire or hold at any time, directly or indirectly, 

more than 25 per cent. of the principal amount outstanding of the Class N Notes. It is the intention of Investec 

either to hold, directly or indirectly, or to have a fund, partnership, trust, company or other entity with respect to 

which it acts as investment manager hold, a minimum average of 19.5 per cent. of the principal amount 

outstanding of the Class N Notes in any five year period until maturity or earlier redemption, so long as Investec 

is the Collateral Manager. 

The Collateral Manager, on behalf of the Issuer, may also from time to time purchase obligations from 

itself, its Affiliates or Related Entities or sell obligations to itself, its Affiliates or its Related Entities. It may not 

always be possible for the Collateral Manager to obtain the current market price for such obligations because 

market quotations for particular obligations may not be generally available. In such circumstances, the 

Collateral Manager is entitled to determine the price of such obligations in its discretion, provided that it does so 

in good faith. 

The Issuer will deal with the Collateral Manager and Affiliates of the Collateral Manager on an arm’s 

length basis and anticipates that the commissions, mark-ups and mark-downs charged by the Collateral Manager 

or its Affiliates or Related Entities will generally be competitive, although the Collateral Manager and its 

Affiliates or Related Entities may have interests in such transactions that are adverse to those of the Issuer, such 

as an interest in obtaining favourable commission rates, mark-ups and mark-downs. 

The Collateral Manager, its Affiliates and their respective clients may invest in securities which satisfy the 

Eligibility Criteria for Collateral Debt Securities. The Collateral Manager and its Affiliates may also have 

ongoing relationships with companies whose securities or obligations secure the Notes and may own debt 

securities issued by issuers of Collateral Debt Securities. As a result thereof, officers of Affiliates of the 

40

Collateral Manager may possess information relating to issuers of, or Reference Obligors under, Collateral Debt 

Securities which is not known to the individuals at the Collateral Manager responsible for monitoring the 

Collateral Debt Securities and performing the other obligations under the Collateral Management Agreement. 

In addition, the Collateral Manager, its Affiliates or clients of the Collateral Manager may invest in securities 

that are senior to, or have interests different from or adverse to, the obligations that secure the Notes. The 

Collateral Manager (and/or its Affiliates) may at certain times be simultaneously seeking to purchase or dispose 

of investments for its (or their) account(s), the Issuer, any similar entity for which it (or they) serves (or serve) 

as investment manager or adviser and for its (or their) clients, respectively. Further, certain Noteholders may be 

clients of the Collateral Manager or its (or their) Affiliates. The Collateral Manager may make investment 

decisions for its clients and Affiliates that may be different from those made by the Collateral Manager on 

behalf of the Issuer. 

The Collateral Manager had various funds or companies under management on the Issue Date. Trading 

between such other funds or companies under the management of the Collateral Manager and the Issuer is 

likely. The investment policies and procedures to be used by the Collateral Manager in managing the Collateral 

Debt Securities in the Portfolio on behalf of the Issuer may be different from the policies and procedures used 

by the Collateral Manager in managing other investments. Furthermore, in managing other investments, the 

Collateral Manager may purchase or dispose of securities in accordance with criteria other than those 

contemplated in this Prospectus and the Collateral Management Agreement. The nature of, and risks associated 

with, the investments and strategies undertaken on behalf of the Issuer may differ substantially from those 

investments and strategies undertaken historically and (with respect to other investments) in the future by the 

Collateral Manager. 

In addition, neither the Collateral Manager nor any of its Affiliates is under any obligation to offer 

investment opportunities of which they become aware to the Issuer or to account to the Issuer (or share with the 

Issuer or inform the Issuer of) any such transaction or any benefit received by them from any such transaction. 

Furthermore, neither the Collateral Manager nor any of its Affiliates has any affirmative obligation to offer any 

investments to the Issuer or to inform the Issuer of any investments before offering any investments to other 

funds or accounts that the Collateral Manager and/or its Affiliates manage or advise. Also, Affiliates of the 

Collateral Manager may make an investment on behalf of entities other than the Issuer. As a result, the 

Collateral Manager and its Affiliates may recommend or engage in activities that would compete with or 

otherwise adversely affect the Issuer. Neither is there any limitation or restriction on the Collateral Manager or 

any of its Affiliates from acting as investment manager (or in a similar role) to other parties or persons. 

It should be noted that an up-front fee was paid to the Collateral Manager on the Issue Date from the 

proceeds of issuance. The Issuer will be obliged to pay any Replacement Collateral Manager, the Base 

Collateral Management Fee and a Replacement Collateral Manager Subordinated Fee. As the up-front fee paid 

to the Collateral Manager is not repayable to the Issuer, the Issuer’s obligation to pay the Replacement 

Collateral Manager Subordinated Fee to any Replacement Collateral Manager may adversely affect the Issuer’s 

ability to repay the Class N Noteholders. 

Dependence on Key Personnel 

Because the composition of the Collateral Debt Securities will vary over time, the performance of the Issuer 

depends heavily on the skills of the Collateral Manager in analysing, selecting and managing the Collateral Debt 

Securities. As a result, the Issuer is highly dependent on the financial and managerial experience of certain 

individuals associated with the Collateral Manager. Employment arrangements between those individuals and 

the Collateral Manager may exist, but the Issuer is not a direct beneficiary of such arrangements, which 

arrangements are in any event subject to change without the consent of the Issuer. The loss of one or more of 

these individuals could have a material adverse effect on the performance of the Issuer. However, this is 

mitigated in the Collateral Management Agreement where a requirement is imposed on the Collateral Manager 

to ensure certain key persons are employed by the Collateral Manager for the life of the deal and a failure to 

retain such key persons or their replacements could lead to removal of the Collateral Manager with “cause” as 

more particularly described under “Description of the Collateral Management Agreement”. Moreover, the 

Collateral Management Agreement may also be terminated under certain circumstances described herein under 

“Description of the Collateral Management Agreement”. 

Termination of Collateral Manager “without cause” 

If the Issuer removes the Collateral Manager “without cause” in accordance with the Collateral 

Management Agreement then the Issuer is liable to pay the Collateral Manager a Collateral Manager 

41

Termination Amount. The payment of this amount may impact adversely on the holders of the Class N Notes 

due to the leveraged nature of the Class N Notes. 

Initial Purchaser. The Initial Purchaser or any of its Affiliate (or one or more accounts or conduits 

managed by the Initial Purchaser or its Affiliates) may hold Notes of any Class from time to time subject to the 

restrictions contained in the same. Affiliates of the Initial Purchaser or the Initial Purchaser may also be a Class 

A1A Noteholder and the Liquidity Facility Provider. 

One or more of the Initial Purchaser and its Affiliates may also act as counterparty with respect to one or 

more Synthetic Securities, Hedge Agreement or Participations. 

Certain of the Collateral Debt Securities in the Portfolio may consist of obligations of obligors or issuers for 

which the Initial Purchaser or an Affiliate of the Initial Purchaser has acted as underwriter, agent, placement 

agent or dealer or for which an Affiliate of the Initial Purchaser has acted as lender or provided other 

commercial or investment banking services. The Issuer may purchase some of the Collateral Debt Securities 

from the Initial Purchaser and its Affiliates, but only to the extent the Collateral Manager determines that such 

purchases are consistent with the investment guidelines and objectives of the Issuer and the restrictions 

contained in the Collateral Management Agreement. In any event, all purchases of Collateral Debt Securities in 

the Portfolio from such entities are required to be on an arms’ length basis. 

The Initial Purchaser and its Affiliates are actively engaged in transactions in the same securities or loans in 

which the Issuer may invest. Such transactions may be different from those made on behalf of the Issuer. 

Subject to applicable law, the Initial Purchaser and its Affiliates may purchase or sell the securities of, or 

otherwise invest in or finance or provide investment banking, advisory and other services to companies, in 

which the Issuer has an interest. The Initial Purchaser and its Affiliates may also have proprietary interests in, 

and may manage or advise other accounts or investment funds that have investment objectives similar or 

dissimilar to those of the Issuer and/or which engage in transactions in, the same types of securities as the Issuer. 

As a result, the Initial Purchaser and its Affiliates may possess information relating to obligors on or issuers of 

Collateral Debt Securities which is not known to the Collateral Manager. None of the Initial Purchaser nor its 

Affiliates is under any obligation to share any investment opportunity, idea or strategy with the Collateral 

Manager or the Issuer. As a result, the Initial Purchaser and its Affiliates may compete with the Issuer for 

appropriate investment opportunities and is under no duty or obligation to share such investment opportunities 

with the Issuer. 

The Issuer may also invest in the securities of companies affiliated with the Initial Purchaser or in which the 

Initial Purchaser has an equity or participation interest. The purchase, holding and sale of such investments by 

the Issuer may enhance the profitability of the Initial Purchaser’s own investments in such companies. 

Projections, Forecasts and Estimates 

Any projections, forecasts and estimates contained herein are forward looking statements and are based 

upon certain assumptions that the Collateral Manager considers reasonable. Projections are necessarily 

speculative in nature, and it can be expected that some or all of the assumptions underlying the projections will 

not materialise or will vary significantly from actual results. Accordingly, the projections are only an estimate. 

Actual results are likely to vary from the projections, and the variations may be material. 

Some important factors that could cause actual results to differ materially from those in any forward 

looking statements include changes in interest rates, currency exchange rate, market, financial or legal 

uncertainties, the timing of acquisitions of Collateral Debt Securities in the Portfolio, differences in the actual 

allocation of the Collateral Debt Securities among asset categories from those assumed, the timing of 

acquisitions of the Collateral Debt Securities, mismatches between the timing of accrual and receipt of Interest 

Proceeds and Principal Proceeds from the Collateral Debt Securities in the Portfolio (particularly during the 

Ramp-Up Period), defaults under Collateral Debt Securities in the Portfolio and the effectiveness of the Hedge 

Agreements, among others. Consequently, the inclusion of projections herein should not be regarded as a 

representation by the Issuer, the Collateral Manager, the Trustee, the Initial Purchaser or any of their respective 

Affiliates or any other person or entity of the results that will actually be achieved by the Issuer. 

None of the Issuer, the Collateral Manager, the Trustee, the Initial Purchaser, any of their respective 

Affiliates or any other person has any obligation to update or otherwise revise any projections, including any 

revisions to reflect changes in economic conditions or other circumstances arising after the date hereof or to 

reflect the occurrence of unanticipated events, even if the underlying assumptions do not come to fruition. 

42

Interest Rate Risk 

The Rated Notes (other than the Class A1A Notes), Euro Drawings under the Class A1A Notes and any 

Class A1B Refinancing Notes bear interest at a rate based on the Applicable EURIBOR and Sterling Drawings 

under the Class A1A Notes bear interest at a rate based on the Class A1A LIBOR. 

The aggregate principal amount of the floating rate Notes and the amount outstanding under the Class A1A 

Notes are not exactly equal to the aggregate principal amount of floating rate Collateral Debt Securities, nor is 

the basis of computation of such respective floating rates the same, nor is the timing of payments of such 

respective floating rate notes the same. 

Accordingly, the Notes are subject to interest rate risk to the extent that there is an interest rate mismatch 

between (a) the aggregate principal amount of the floating rate Notes and the amount outstanding under the 

Class A1A Notes, and the aggregate principal amount of floating rate Collateral Debt Securities or (b) different 

interest rate bases used as the basis for calculating interest on a Rated Note or the Class A1A Notes and any 

floating rate Collateral Debt Security. 

The Notes are also subject to a timing mismatch between the floating rate Notes and the underlying 

Collateral Debt Securities as the interest rates on Collateral Debt Securities may adjust more frequently or less 

frequently, on different dates and based on different indices than the interest on the floating rate Notes. It is 

expected that the Liquidity Facility will be used to mitigate the effects of any such timing mismatches. 

However, no assurance can be given that the notional amount of the Liquidity Facility will be sufficient to cover 

the full extent of these timing mismatches. 

In addition, any payments of principal of or interest on Collateral Debt Securities received during a Due 

Period and not invested in other Collateral Debt Securities will generally be reinvested in Eligible Investments 

maturing not later than the Determination Date immediately preceding the next Payment Date. There is no 

requirement that Eligible Investments bear interest at the Applicable EURIBOR or as the case may be, Class 

A1A LIBOR, and the interest rates available for Eligible Investments are inherently uncertain. 

As a result of these mismatches, a change in the level of EURIBOR or as the case may be, LIBOR or other 

floating rate indices could adversely impact the ability of the Issuer to make payments on the Notes (including 

by reason of a decline in the value of previously issued fixed rated Collateral Debt Securities as interest rates 

increase). 

The Issuer has not entered into interest rate swap agreements or interest rate cap agreements to reduce the 

impact of the interest rate mismatches which might otherwise arise. No interest hedge transactions are required 

by the Rating Agencies as determined by their multiple stress scenarios. Therefore, the Class N Notes may bear 

more interest rate risk than the Rated Notes. 

There can be no assurance that the Collateral Debt Securities and Eligible Investments will in all 

circumstances generate sufficient Interest Proceeds to make timely payments of interest on the Notes or to 

ensure any particular return. Because interest on the Notes is payable from Interest Proceeds, there can be no 

assurance that the yield on such Notes will not be adversely affected. 

Currency Risk 

The Notes (other than the Class A1A Notes) are obligations of the Issuer denominated in Euro and the Class 

A1A Notes are obligations of the Issuer denominated in Euro and Sterling. The Issuer will be able to acquire 

Collateral Debt Securities denominated in Euro and Sterling and in non-Euro currencies, provided that such 

Non-Euro Collateral Debt Securities are the subject of an Asset Swap Transaction. The Issuer, subject to 

Condition 3(c) (Priorities of Payment), will use Sterling Interest Proceeds and Sterling Principal Proceeds to pay 

its liabilities under the Class A1A Notes denominated in Sterling and Euro Interest Proceeds and Euro Principal 

Proceeds to pay its liabilities under the Notes and the Class A1A Notes denominated in Euro. On the Issue 

Date, the Issuer also purchased Sterling call options pursuant to the Initial Hedge Agreement. To the extent that 

there are excess proceeds denominated in one currency, and the Issuer does not have sufficient amounts in the 

other currency to pay its liabilities, then in accordance with the Priorities of Payment and the provisions of 

Condition 3(c)(v) (FX Conversion), the Issuer may convert such excess proceeds into the required currency at 

the Spot Rate to pay such liabilities. In addition, if the Collateral Manager on behalf of the Issuer exercises the 

Sterling call options, the Issuer may receive Sterling amounts to meet its Sterling liabilities. Therefore, the 

Noteholders may suffer a risk that Euro Interest Proceeds and Euro Principal Proceeds which may have been 

43

available to them on subsequent payment dates are utilised to pay the Issuer’s liabilities in Sterling. In addition, 

the Noteholders may also take the risk of any currency mismatches if proceeds from Sterling Collateral Debt 

Securities have to be converted to Euro to repay the Issuer’s obligations denominated in Euro. 

Average Life and Duration of the Notes 

The Maturity Date of the Notes is 18 July 2023; however, the average life of each Class of Notes is 

expected to be shorter than or equal to the number of years until their Maturity Date. Average life refers to the 

average amount of time that will elapse from the date of delivery of a debt obligation until each Euro (or 

Sterling in the case of the Sterling Drawings) of the principal of such debt obligation will be paid to the investor. 

The average lives of each Class of the Notes will be determined by the amount and frequency of principal 

payments in respect of such Class, which are dependent upon, among other things, any shortening of the 

Reinvestment Period and the amount of payments received at or in advance of the scheduled maturity of 

Collateral Debt Securities (whether through sale, maturity, redemption, default or other liquidation or 

disposition). The actual average lives and actual maturities of each Class of the Notes will be affected by the 

financial condition of each of the obligors of the underlying Collateral Debt Securities and the characteristics of 

such loans and securities, including the existence, timing and frequency of exercise of any optional or 

mandatory redemption features, the prevailing level of interest rates, the redemption price, the actual default rate 

and the actual level of recoveries on any Defaulted Securities, and the frequency of tender or exchange offers for 

such Collateral Debt Securities. Certain of the Collateral Debt Securities are expected to be subject to sinking 

fund or optional redemption by the obligors of such loans and securities. Any disposition of a Collateral Debt 

Security may change the composition and characteristics of the Collateral Debt Securities and the rate of 

payment thereon, and, accordingly, may affect the actual average lives of each Class of the Notes. The rate of 

future defaults and the amount and timing of any cash realisation from Defaulted Securities will also affect the 

maturity and average lives of each Class of the Notes. The ability of the Collateral Manager to reinvest 

Principal Proceeds and to invest amounts drawn under the Class A1A Notes in the manner described under 

“Description of the Portfolio” below will also affect the average lives of each Class of the Notes. 

In addition, the maturity of the Notes may also occur earlier than the Stated Maturity in the event of a 

mandatory redemption (as described in Condition 7(c) (Mandatory Redemption)) or an optional redemption (as 

described in Condition 7(b) (Optional Redemption)). See “Mandatory Redemption” and “Optional Redemption” 

above. 

Application of Unused Proceeds on the First Payment Date after the Ramp-Up Period 

Net proceeds from the issuance and sale of the Notes not invested in Collateral Debt Securities on the Issue 

Date, as applicable, and not used in repayment of the Class A1A Notes, may be invested in Eligible 

Investments, pending the application of such funds or investments to the purchase of the remainder of the 

Portfolio, until the end of the Ramp-Up Period. In the event that the Collateral Manager on behalf of the Issuer 

is unable to purchase some of the Collateral Debt Securities during the Ramp-Up Period, then the balance of the 

net issue proceeds (excluding investment earnings thereon) may be paid no later than on the first Payment Date 

following the end of the Ramp-Up Period to the Euro Payment Account and deemed to constitute Euro Principal 

Proceeds and will be applied on such first Payment Date in accordance with the Priorities of Payment which 

could reduce the leverage ratio of the Class N Notes to the other Classes of Notes which could adversely affect 

the level of returns to the holders of the Class N Notes. 

Exercise of Rights under Collateral Enhancement Securities 

The ability of the Collateral Manager, acting on behalf of the Issuer, to exercise any rights or options under 

any Collateral Enhancement Security will be dependent upon there being amounts standing to the credit of the 

Collateral Enhancement Account which are sufficient to pay the costs of any such exercise. There can be no 

assurance that amounts standing to the credit of the Collateral Enhancement Account will be sufficient to fund 

the exercise of any right or option under any Collateral Enhancement Security at any time. Failure to exercise 

any such right or option may result in a reduction of the returns to the Class N Noteholders. 

Voting Rights Upon Issuer Event of Default 

To the extent permitted by any applicable laws, upon the occurrence of an Issuer Event of Default, the 

Trustee at the direction of the Controlling Class may direct the exercise of remedies under the Trust Deed, 

including, subject to certain conditions, (a) to declare the acceleration of the principal of and accrued interest on 

44

all the Notes, (b) to rescind such declaration of acceleration, (c) to direct the sale and liquidation of the 

Collateral, and (d) to waive certain defaults with respect to the Notes. 

Security 

(a) Clearing Systems: The Collateral Debt Securities purchased by the Collateral Manager on behalf of the 

Issuer, which are securities, and will be held by the Custodian. The Custodian holds and will hold 

certain of the securities (i) through its accounts with Euroclear, Clearstream, Luxembourg and DTC, as 

appropriate, and (ii) through its sub-custodians who in turn hold such Collateral Debt Securities which 

are securities both directly and through any appropriate clearing system. Those securities held in 

clearing systems may not be held in special purpose accounts and will be fungible with other securities 

from the same issue held in the same accounts on behalf of the other customers of the Custodian or its 

sub-custodian, as the case may be. A fixed charge over the Issuer’s rights in and to such Collateral 

Debt Securities which are securities was created under English law pursuant to the Trust Deed on the 

Issue Date and has effect as a security interest over the right of the Issuer to require delivery of such 

securities from the Custodian in accordance with the terms of the Agency Agreement. However, the 

charge created pursuant to the Trust Deed may be insufficient or ineffective to secure the Collateral 

Debt Securities which are securities for the benefit of Noteholders, particularly in the event of any 

insolvency or liquidation of the Custodian or any sub-custodian that has priority over the right of the 

Issuer to require delivery of such assets from the Custodian in accordance with the terms of the Agency 

Agreement. Any risk of loss arising from any insufficiency or ineffectiveness of the security for the 

Notes will be borne by the Noteholders without recourse to the Trustee, the Initial Purchaser or any 

other party. 

Some Collateral Debt Securities, Collateral Enhancement Securities, Defaulted Equity Securities and 

Eligible Investments are securities held by the Custodian in a pledged account with Euroclear (the 

“Euroclear Pledged Account”). These securities held in the Euroclear Pledged Account are the 

subject of a commercial pledge under Belgian law created by the Issuer pursuant to the Euroclear 

Pledge Agreement entered into by the Issuer on the Issue Date. The effect of this security interest, inter 

alia, enables the Custodian, on enforcement, to sell the securities in the Euroclear Pledged Account on 

behalf of the Trustee. The Euroclear Pledge Agreement does not entitle the Trustee to require delivery 

of the relevant securities from the depositary or depositaries that have physical custody of such 

securities or allow the Trustee to dispose of such securities directly other than by sale upon an 

enforcement of the security interest. 

In addition, custody and clearance risks may be associated with Collateral Debt Securities which are 

securities that do not clear through DTC or Euroclear or Clearstream, Luxembourg. There is a risk, for 

example, that such securities could be counterfeit, or subject to a defect in title or claims to ownership 

by other parties. 

(b) Fixed Charge: Although the security constituted by the Trust Deed over certain of the Collateral Debt 

Securities and certain other assets of the Issuer held from time to time, including the security over the 

Accounts, is expressed to take effect as fixed security, it may (as a result, inter alia, of the substitutions 

of Collateral Debt Securities contemplated by the Collateral Management Agreement and the payments 

to be made from the Accounts in accordance with the Transaction Documents) take effect as a floating 

charge which, in particular, would rank after a subsequently created fixed security interest. However, 

the Issuer has covenanted not to create any such subsequent security interests unless the Rating 

Agencies have confirmed that such actions would not adversely affect the then current ratings of any of 

the Senior Notes and the other Rated Notes. 

(c) Governing Law of the Security: The Trust Deed and security interests created pursuant to it are 

governed by English law. Some of the Collateral Debt Securities are and will be obligations governed 

by the laws of jurisdictions other than England and Wales and which require different and/or additional 

procedures and/or documentation to create or perfect any security interest. The Trust Deed contains a 

further assurance clause under which the Issuer agrees to take such further action as the Trustee may 

require to ensure that it creates valid security over its assets in favour of the Trustee. The Euroclear 

Pledge Agreement is governed by Belgian law. 

45

Liability to Stamp Taxation and Other Charges 

Purchasers of the Notes may be required to pay stamp taxes and other charges, in accordance with the laws 

and practices of the country of purchase, in addition to the issue price of each Note. Potential purchasers should 

consult their own tax advisers as to the tax consequences of the purchase, ownership, transfer or exercise of any 

Notes or of any interest in any Notes. In addition, potential purchasers of the Notes should be aware that tax 

regulations (including those relating to stamp taxation) and their application by the relevant taxation authorities 

change from time to time. Accordingly, it is not possible to predict the precise tax treatment which will apply at 

any given time. In particular, no representation is made as to the manner in which payments under the Notes 

would be characterised by any relevant taxing authority. 

Withholding Tax; Changes in Tax Law; No Gross Up 

Withholding on Collateral Debt Securities. Under the Eligibility Criteria, a Collateral Debt Security will be 

eligible for purchase by the Issuer if, at the time it is purchased, either the payments thereon are not subject to 

withholding tax imposed by any jurisdiction or if the obligation provides for “gross-up” payments that cover the 

full amount of any such withholding taxes. Where payments under the Collateral Debt Securities purchased by 

the Collateral Manager on behalf of the Issuer are not subject to withholding tax at the time of acquisition by the 

Collateral Manager on behalf of the Issuer this is generally as a consequence of the Issuer being able to take 

advantage of a double taxation treaty between The Netherlands and the jurisdiction from which the relevant 

payment is made, the current applicable law in the jurisdiction of the borrower or, in certain cases, as a result of 

the fact that the Issuer has taken a Participation in such Collateral Debt Securities from a Selling Institution 

which is able to pay interest payable under such Participation gross if paid in the ordinary course of its business. 

As a result of a recent judgment of the UK Court of Appeal, it could be argued that payments of interest on 

Collateral Debt Securities with UK Obligors cannot benefit from the interest article in the UK/The Netherlands 

double taxation treaty. This would mean that UK income tax would need to be withheld (currently at a rate of 

20 per cent.) from such interest payments. HM Revenue & Customs (“HMRC”) published draft guidance on 9 

October 2006 setting out their approach to claims for treaty relief in circumstances where they consider that the 

judgment might be considered to apply. HMRC state that benefits under a double taxation treaty will not be 

denied where interest is paid to a special purpose vehicle which issues a quoted eurobond. The Notes issued by 

the Issuer should be quoted eurobonds so long as they are and remain listed on the Irish Stock Exchange. It is 

therefore unlikely that HMRC will seek to deny benefits under the UK/The Netherlands double taxation treaty 

to UK Obligors as regards the payment of interest to the Issuer. However, the HMRC guidance is in draft form 

and may therefore be subject to amendment before being finalised. It is not possible to identify whether any 

such amendment may adversely affect any UK Obligor’s position as regards a claim under the UK/The 

Netherlands double taxation treaty to pay interest without withholding or deduction for or on account of UK 

income tax. 

In the event that the Issuer receives any interest payments on any Collateral Debt Security purchased by it 

net of any applicable withholding tax, the Coverage Tests and Collateral Quality Tests will be determined by 

reference to such net receipts. There can be no assurance that, as a result of any change in any applicable law, 

treaty, rule, regulation or interpretation thereof, the payments on the Collateral Debt Securities purchased by the 

Issuer might not in the future become subject to withholding tax or increased withholding rates. In the event 

that any or greater withholding tax is imposed on payments on the Collateral Debt Securities purchased by the 

Issuer, such tax would reduce the amounts available to make payments on the Notes. There can be no assurance 

that remaining payments on the Collateral Debt Securities purchased by the Issuer would be sufficient to make 

timely payments of interest, principal on the Maturity Date and other amounts payable in respect of the Notes of 

each Class. In the event the imposition of any such tax at any time after the Issue Date results in the occurrence 

of a Tax Event, the holders of 66⅔ per cent. of the principal amount of the Controlling Class or the holders of 

66⅔ per cent. of the principal amount outstanding of the Class N Notes may consent to the Issuer’s redemption 

of the Notes in full, but not in part. See Condition 7(b) (Optional Redemption). 

Withholding on Notes. The Issuer expects that payments of principal, interest and Redemption Prices in 

respect of the Notes by the Issuer will not be subject to any withholding tax in The Netherlands or any other 

jurisdiction. However, there can be no assurance that, as a result of any change in any applicable law, treaty, 

rule, regulation, or interpretation thereof, the payments on the Notes will not in the future become subject to 

withholding taxes. For example, see “Tax Considerations - EU Directive on the Taxation of Savings Income 

(2003/48/EC)”. In the event that withholding or deduction of any taxes from payments of principal or interest in 

respect of the Notes is required by law in any jurisdiction, the Issuer shall be under no obligation to make any 

additional payments to the holders of any Notes in respect of such withholding or deduction. See “Tax 

46

Considerations”. The Notes may, however, be redeemed pursuant to Condition 7(b)(i)(B) (Redemption for Tax 

Reasons). 

U.S. Tax Treatment of U.S. Holders of Rated Notes and Class N Notes 

The Issuer treats the Class A Notes, Class B Notes, Class C Notes, Class D Notes, the Class E Notes 

(collectively the “Class A-E Notes”) and the Class A1A Notes, and the Trust Deed requires that holders agree 

to treat such Notes, as debt for U.S. federal income tax purposes. The U.S. Internal Revenue Service may 

challenge the treatment of such Notes as debt of the Issuer. If the challenge succeeded, such Notes would be 

treated as equity interests in the Issuer, and the U.S. federal income tax consequences of investing in the such 

Notes would be the same as the consequences of investing in Class N Notes as described below. 

The Issuer treats the Class N Notes as equity of the Issuer for U.S. federal income tax purposes. Because 

the Issuer will be a passive foreign investment company for U.S. federal income tax purposes, a U.S. person 

holding Class N Notes may be subject to additional taxes unless it elects to treat the Issuer as a qualified electing 

fund and to recognise currently its proportionate share of the Issuer’s income. A U.S. holder that makes a 

qualified electing fund election may recognise income in amounts significantly greater than the distributions 

received from the Issuer. A U.S. holder that makes the election will be required to include in current income its 

pro rata share of the earnings whether or not the Issuer actually makes distributions. In this regard, prospective 

U.S. purchasers of the Class N Notes should be aware that it is possible that a significant amount of the Issuer’s 

income, as determined for U.S. federal income tax purposes, will not be distributed on a current basis for a 

number of potential reasons, including the retirement of all or a portion of certain Classes of Notes. Therefore, 

U.S. holders of the Class N Notes that make a qualified electing fund election may owe tax on a significant 

amount of “phantom” income. The U.S. holder may be able to elect to defer payment, subject to an interest 

charge for the deferral period, of the tax on income recognised on account of the qualified electing fund 

election. The Issuer also may be a controlled foreign corporation, in which case U.S. persons holding Class N 

Notes could be subjected to different tax treatments. See “Tax Considerations”. 

U.S. Federal Income Tax Considerations. Prospective investors should review the section entitled, “Tax 

Considerations”. 

Investment Company Act 

The Issuer has not registered with the United States Securities and Exchange Commission (the “SEC”) as 

an investment company pursuant to the Investment Company Act. The Issuer has not so registered in reliance 

on an exception for investment companies organised under the laws of a jurisdiction other than the United States 

or any state thereof (a) whose investors resident in the United States are solely “Qualified Purchasers” (within 

the meaning given to such term in the Investment Company Act and the regulations of the SEC thereunder) or 

certain transferees thereof identified in Rule 3c-6 under the Investment Company Act and (b) which do not 

make a public offering of their securities in the United States. No opinion or no action position has been 

requested of the SEC. 

To rely on Section 3(c)(7) of the Investment Company Act, the Issuer must have a “reasonable belief” that 

all purchasers of the Notes (including the initial purchasers and subsequent transferees) which are U.S. residents 

(within the meaning of the Investment Company Act) are “Qualified Purchasers”. Given that transfers of 

beneficial interests in the Notes will generally be effected only through Euroclear, Clearstream, Luxembourg or 

DTC and its participants and indirect participants without delivery of written transferee certifications to the 

Issuer, the Issuer will establish the existence of such a reasonable belief by means of the deemed 

representations, warranties and agreements described under “Plan of Distribution and Transfer Restrictions”, 

the agreements of the Initial Purchaser referred to under “Plan of Distribution and Transfer Restrictions” and 

the procedures described below. Although the SEC has stated that it is possible for an issuer of securities to 

satisfy the reasonable belief standard referred to above by establishing procedures to provide a means by which 

such issuer can make a reasonable determination as to the status of its security holders as “Qualified 

Purchasers”, the SEC has not approved, and has stated that it will not approve, any particular set of procedures 

including the procedures described herein. Accordingly, there can be no assurance that the Issuer has satisfied 

or will satisfy the reasonable belief standard referred to above. 

If the SEC or a court of competent jurisdiction were to find that the Issuer is required, but in violation of the 

Investment Company Act had failed, to register as an investment company, possible consequences include, but 

are not limited to, the following: (a) the SEC could apply to a district court to enjoin the violation; (b) investors 

in the Issuer could sue the Issuer to recover any damages caused by the violation; and (c) any contract to which 

47

the Issuer is party that is made in, or whose performance involves a, violation of the Investment Company Act 

would be unenforceable by any party to the contract unless a court were to find that under the circumstances 

enforcement would produce a more equitable result than non-enforcement and would not be inconsistent with 

the purposes of the Investment Company Act. Should the Issuer be subjected to any or all of the foregoing, the 

Issuer would be materially and adversely affected. 

Each purchaser of a beneficial interest in a Rule 144A Global Note will be deemed to represent and agree at 

the time of purchase that: (a) the purchaser is both a Qualified Institutional Buyer and a Qualified Purchaser 

purchasing for its own account or one or more accounts with respect to which it exercises sole investment 

discretion, each of which is both a Qualified Institutional Buyer and a Qualified Purchaser, and in each case is 

purchasing the Notes for investment purposes and not with a view to the resale, distribution or other disposition 

thereof; (b) the purchaser is not a dealer described in paragraph (a)(1)(ii) of Rule 144A unless such purchaser 

owns and invests on a discretionary basis at least U.S.$25,000,000 in securities of issuers that are not affiliated 

persons of the dealer; (c) the purchaser is not a plan referred to in paragraph (a)(1)(i)(D) or (a)(1)(i)(E) of Rule 

144A, or a trust fund referred to in paragraph (a)(1)(i)(F) of Rule 144A that holds the assets of such a plan, 

unless investment decisions with respect to the plan are made solely by the fiduciary, trustee or sponsor of such 

plan; (d) the purchaser was not formed for the purposes of investing in the Issuer (except where each individual 

owner of the purchaser is a Qualified Purchaser); (e) that such purchaser, and each account for which it is 

purchasing, will hold and transfer at least the Minimum Denomination; (f) that such purchaser acknowledges 

that the Issuer may receive a list of participants holding positions in its securities from one or more book-entry 

registries; and (g) that such purchaser acknowledges that the Notes have not been and will not be registered 

under the Securities Act and may not be re-offered, resold, pledged or otherwise transferred except (1) to a 

Qualified Purchaser that the seller reasonably believes is a Qualified Institutional Buyer, purchasing for its own 

account or one or more accounts with respect to which it exercises sole investment discretion, each of which is a 

Qualified Purchaser that the seller reasonably believes is a Qualified Institutional Buyer, to whom notice is 

given that the resale, pledge or other transfer is being made in reliance on an exemption from the registration 

requirements of the Securities Act and from which the same representations and acknowledgements are received 

as given by the purchaser in this sentence, none of which is (x) a dealer of the type described in paragraph 

(a)(1)(ii) of Rule 144A unless it owns and invests on a discretionary basis not less than U.S.$25,000,000 in 

securities of issuers that are not affiliated to it, (y) a plan referred to in paragraph (a)(1)(i)(D) or (a)(1)(i)(E) of 

Rule 144A, or a trust fund referred to in paragraph (a)(1)(i)(F) of Rule 144A that holds the assets of such a plan, 

unless investment decisions with respect to the plan are made solely by the fiduciary, trustee or sponsor of such 

plan, or (z) formed for the purpose of investing in the Issuer (except where each beneficial owner of the 

purchaser is a Qualified Purchaser), or (2) to a person that is neither a U.S. Person nor a U.S. Resident in an 

“offshore transaction” in reliance on Regulation S and (i) the purchaser will provide written notice of the 

foregoing, and of any applicable restrictions on transfer, to any transferee. 

The Trust Deed provides that if, notwithstanding the restrictions on transfer contained therein, the Issuer 

determines that any beneficial owner of a Note (or any interest therein) is a U.S. Person (within the meaning of 

Regulation S under the Securities Act) and is not both a Qualified Institutional Buyer and Qualified Purchaser, 

then the Issuer may require, by notice to such Noteholder, that such Noteholder sell all of its right, title and 

interest to such Note (or interest therein) to a Person that is a Qualified Institutional Buyer and Qualified 

Purchaser, with such sale to be effected within 30 days after notice of such sale requirement is given. If such 

beneficial owner fails to effect the transfer required within such 30 day period, (i) upon direction from the 

Issuer, the Trustee, on behalf of and at the expense of the Issuer, shall cause such beneficial owner’s interest in 

such Note to be transferred in a commercially reasonable sale (conducted by the Trustee in accordance with 

Section 9-610 of the Uniform Commercial Code as in effect in the State of New York as applied to securities 

that are sold on a recognised market or that may decline speedily in value) to a person that certifies to the 

Trustee, the Issuer and the Collateral Manager, in connection with such transfer, that such person is a both 

Qualified Institutional Buyer and a Qualified Purchaser and to whom a beneficial interest in such Note may be 

otherwise transferred in accordance with the transfer restrictions set forth in the Trust Deed and (ii) pending 

such transfer, no further payments will be made in respect of such Note held by such beneficial owner. 

ERISA Considerations 

See “ERISA Considerations” for a detailed discussion of certain ERISA, Code and related considerations 

with respect to an investment in the Notes. 

48

German Taxation of Noteholders 

Investors who are tax resident in Germany, investors holding Notes through a German permanent 

establishment (or a permanent representative) and investors presenting Notes at the office of a German credit 

institution or financial services institution (each as defined in the German Banking Act (Kreditwesengesetz)) 

may be subject to the German Investment Tax Act (Investmentsteuergesetz) (the “Investment Tax Act”). 

There is currently legal uncertainty in Germany as to whether the Investment Tax Act would apply to 

certain classes of collateralised debt obligation notes, collateralised loan obligations notes and similar 

instruments. According to a tax decree (the “Decree”) on the interpretation of the Investment Tax Act issued by 

the Federal Ministry of Finance (Bundesfinanzministerium — BMF) on 2 June 2005, CDO vehicles (as defined 

in the Decree) shall not qualify as foreign investment funds within the meaning of the Investment Tax Act if, 

according to the contractual terms, save for the replacement of collateral obligations for the purpose of securing 

the volume, the duration and the risk structure of the portfolio, only up to 20 per cent of the assets of the Issuer 

may be freely traded per annum, regardless of the class of securities held in such vehicle. There is an increased 

risk that the exemption referred to above may not be applied to the Issuer by the German tax authorities and/or 

courts and the Issuer therefore may qualify as a foreign investment fund. In this case, the Investment Tax Act 

will very likely apply to the Class N Notes and to the Class E Notes and there remains even a risk that the Class 

A Notes, the Class B Notes, the Class C Notes and the Class D Notes might be subject to the Investment Tax 

Act. The more junior a Class of Notes is, the higher is the risk that the Investment Tax Act may apply. 

Prospective German investors are, therefore, urged to seek independent tax advice and to consult their 

professional advisers on this matter as to (i) whether the relevant Notes are within the scope of the Investment 

Tax Act, and, in particular, whether the relevant Notes are exempt under the Decree, and (ii) the legal and tax 

consequences that may arise from the possible application of the Investment Tax Act to the relevant Notes and 

neither the Issuer nor the Arranger or any other party accepts any responsibility in respect of the German tax 

position of the Notes or the holders of the Notes. 

There are other German tax considerations relevant to Noteholders. For further details relating to the risks 

outlined above and further German tax considerations, this section should be carefully read in conjunction with 

the section entitled “Tax Considerations — German Taxation”. 

49

CONDITIONS OF THE NOTES 

The following are the conditions of each of the Senior Notes, the Class B Notes, the Class C Notes, the 

Class D Notes, the Class E Notes and the Class N Notes substantially in the form in which they will be endorsed 

on such Notes if issued in definitive certificated form and will be incorporated by reference into the Global 

Notes of each Class representing the Notes subject to the provisions of such Global Notes, some of which will 

modify the effect of these Conditions. See “Form of the Notes—Amendments to Conditions”. 

The issue of up to €75,000,000 Class A1A Senior Secured Floating Rate Variable Funding Notes due 2023 

(the “Class A1A Notes”), €75,000,000 Class A1B Senior Secured Floating Rate Notes due 2023 (including any 

Class A1B Refinancing Notes issued as described herein, the “Class A1B Notes”), €48,800,000 Class A2 

Senior Secured Floating Rate Notes due 2023 (the “Class A2 Notes” and together with the Class A1A Notes 

and the Class A1B Notes, the “Class A Notes” or the “Senior Notes”), €24,130,000 Class B Deferrable Secured 

Floating Rate Notes due 2023 (the “Class B Notes”), €21,900,000 Class C Deferrable Secured Floating Rate 

Notes due 2023 (the “Class C Notes”), €22,020,000 Class D Deferrable Secured Floating Rate Notes due 2023 

(the “Class D Notes”), €10,780,000 Class E Deferrable Secured Floating Rate Notes due 2023 (the “Class E 

Notes” and together with the Senior Notes, the Class B Notes, the Class C Notes and the Class D Notes, the 

“Rated Notes”), and €32,800,000 Class N Subordinated Notes due 2023 (the “Class N Notes”, and together 

with the Rated Notes, the “Notes”), was authorised by a resolution of the board of Managing Directors of the 

Issuer dated 29 June 2007. 

The Notes are constituted by a trust deed (the “Trust Deed”) expected to be dated on or about 5 July 2007, 

between, amongst others, the Issuer, The Law Debenture Trust Corporation p.l.c. in its capacity as trustee (the 

“Trustee”, which expression shall include all persons for the time being acting as the trustee or trustees under 

the Trust Deed) for the Secured Parties. In the event of replacement or removal of the Trustee, a suitable 

replacement shall be found before any termination of the Trustee’s appointment will be effected. 

These Conditions include summaries of, and are subject to, the detailed provisions of the Trust Deed (which 

includes the forms of the certificates representing the Notes). The following agreements have been entered into 

on or about the Issue Date in relation to the Notes: 

(a) an agency agreement dated on or about the Issue Date (the “Agency Agreement”) between the Issuer, 

HSBC Bank plc in its capacity as principal paying agent (the “Principal Paying Agent”, which term 

shall include any successor or substitute principal paying agent appointed pursuant to the terms of the 

Agency Agreement) and in its capacity as exchange rate agent (the “Exchange Rate Agent”, which 

term shall include any successor or substitute exchange rate agent appointed pursuant to the terms of 

the Agency Agreement) and in its capacity as account bank (the “Account Bank”, which term shall 

include any successor or substitute account bank appointed pursuant to the terms of the Agency 

Agreement) and in its capacity as custodian (the “Custodian”, which term shall include any successor 

or substitute custodian appointed pursuant to the terms of the Agency Agreement), HSBC Institutional 

Trust Services (Ireland) Limited in its capacity as Irish paying agent (the “Irish Paying Agent”, which 

term shall include any successor or substitute Irish paying agent appointed pursuant to the terms of the 

Agency Agreement), HSBC Bank USA, N.A. in its capacity as US paying agent (the “US Paying 

Agent”, which term shall include any successor or substitute US paying agent appointed pursuant to 

the terms of the Agency Agreement and, together with the Principal Paying Agent and the Irish Paying 

Agent, the “Paying Agents”) and in its capacity as transfer agent (together with any other transfer 

agents appointed from time to time pursuant to the Agency Agreement, the “Transfer Agents”, which 

term shall include any successor or substitute transfer agent appointed pursuant to the terms of the 

Agency Agreement) and in its capacity as capital commitment registrar (the “Capital Commitment 

Registrar”, which term shall include any successor or substitute capital commitment registrar 

appointed pursuant to the Class A1A Note Purchase Agreement) and in its capacity as registrar (the 

“Registrar”, which term shall include any successor or substitute registrar appointed pursuant to the 

terms of the Agency Agreement), Law Debenture Asset Backed Solutions Limited as collateral 

administrator (the “Collateral Administrator”, which term shall include any successor or substitute 

collateral administrator appointed pursuant to the terms of the Collateral Administration Agreement) 

and Investec Principal Finance, a business unit division of Investec Bank (UK) Ltd. (the “Collateral 

Manager”, which term shall include any successor or substitute collateral manager appointed pursuant 

to the terms of the Collateral Management Agreement) and the Trustee; 

(b) a collateral management agreement dated on or about the Issue Date (the “Collateral Management 

Agreement”) between the Collateral Manager, the Issuer and the Trustee; 

50

(c) a collateral administration agreement dated on or about the Issue Date (the “Collateral 

Administration Agreement”) between the Collateral Administrator, the Issuer, the Collateral 

Manager, the Trustee and the Account Bank; 

(d) a bank account agreement dated on or about the Issue Date (the “Bank Account Agreement”) between 

the Account Bank, the Issuer, the Trustee, the Collateral Administrator and the Collateral Manager 

under which the Account Bank agrees to act as Account Bank in respect of the Accounts of the Issuer; 

(e) a management agreement dated on or about the Issue Date (the “Management Agreement”) between 

the Managing Directors and the Issuer under which the Managing Directors agree to provide certain 

services to the Issuer; 

(f) 

the Initial Hedge Agreement dated on or about the Issue Date between the Issuer and The Bank of New 

York (the “Initial Hedge Counterparty”, which term shall include any successor or substitute initial 

hedge counterparty, the subject of Rating Agency Confirmation, appointed pursuant to the terms of the 

Initial Hedge Agreement); 

(g) a subscription and placement agreement dated on or about the Issue Date (the “Subscription and 

Placement Agreement”) between Dresdner Bank AG London Branch (the “Initial Purchaser”) and 

the Issuer; 

(h) a Class A1A Note Purchase Agreement dated on or about the Issue Date (the “Class A1A Note 

Purchase Agreement”) between the Issuer, the Trustee, the Capital Commitment Registrar, Dresdner 

Bank AG London Branch as the initial purchaser of the Class A1A Notes on the Issue Date, the 

Collateral Manager, the Collateral Administrator, the Principal Paying Agent and the Account Bank; 

(i) 

(j) 

a Liquidity Facility Agreement dated on or about the Issue Date (the “Liquidity Facility Agreement”) 

between the Issuer, the Trustee, the Collateral Manager, the Collateral Administrator and Dresdner 

Bank AG London Branch as Liquidity Facility Provider (the “Liquidity Facility Provider”, which 

term shall include any successor or substitute liquidity facility provider appointed pursuant to the terms 

of the Liquidity Facility Agreement); and 

a Euroclear Pledge Agreement dated on or about the Issue Date (the “Euroclear Pledge Agreement”) 

between the Issuer as pledgor, The Law Debenture Trust Corporation p.l.c. as pledgee and the 

Custodian in respect of certain securities held in Euroclear. 

Copies of the Trust Deed, the Agency Agreement, the Collateral Management Agreement, the Collateral 

Administration Agreement, the Bank Account Agreement, the Management Agreement, each Hedge 

Agreement, the Subscription and Placement Agreement, the Class A1A Note Purchase Agreement, the Liquidity 

Facility Agreement, any Additional Security Documents, any Securities Lending Agreements, the Collateral 

Acquisition Agreements and the Euroclear Pledge Agreement will be available for inspection during usual 

business hours at the principal office of the Principal Paying Agent (as at the Issue Date, at 8 Canada Square, 

London E14 5HQ) and at the specified offices of the Transfer Agents. 

The holders of each Class of Notes are entitled to the benefit of, are bound by and are deemed to have 

notice of all the provisions of the Trust Deed and the other Transaction Documents. 

References to the Trust Deed and to any other Transaction Document or other document referred to in these 

Conditions shall be deemed to include reference to such document, as amended, modified, supplemented, 

replaced or novated from time to time in accordance with the terms of the Trust Deed or any other Transaction 

Document or other document. 

1. Definitions 

In these Conditions, the following terms shall have the following meaning: 

“Accounts” means the Initial Proceeds Account, the Interest Collection Account, the Principal Collection 

Account, the Additional Collateral Account, the Sterling Additional Collateral Account, the Euro Principal 

Reserve Account, the Collateral Enhancement Account, the Euro Payment Account, the Sterling Payment 

Account, the Liquidity Payment Accounts, each Stand-by Liquidity Account, each Stand-by Account, the 

Securities Lending Account, the Euro Expense Account, the Sterling Expense Account, the Sterling Interest 

51

Account and the Sterling Principal Account and each Currency Account, each of which is to be held and 

administered outside of The Netherlands. 

“Accrued Euro Collateral Interest Amount” means, as of any Payment Date, the amount which is equal 

to the aggregate of all accrued interest under the Collateral Debt Securities (including for the avoidance of 

doubt, the non-Euro accrued interest of Non-Euro Collateral Debt Securities, the subject of an Asset Swap 

Transaction which shall be converted into Euro at the relevant Asset Swap Transaction Exchange Rate) in 

the Portfolio (other than Defaulted Securities) denominated in Euro which is not payable to the Issuer on or 

prior to the Determination Date in respect of such Payment Date by the Obligors of the relevant Collateral 

Debt Securities. 

“Accrued Sterling Collateral Interest Amount” means, as of any Payment Date, the amount which is 

equal to the aggregate of all accrued interest under the Collateral Debt Securities (excluding for the 

avoidance of doubt, the Sterling accrued interest of Non-Euro Collateral Debt Securities which is 

denominated in Sterling, the subject of an Asset Swap Transaction) in the Portfolio (other than Defaulted 

Securities) denominated in Sterling which is not payable to the Issuer on or prior to the Determination Date 

in respect of such Payment Date by the Obligors of the relevant Collateral Debt Securities. 

“Additional Collateral Account” means the Euro account so named of the Issuer held with the Account 

Bank, amounts standing to the credit of which, subject to certain conditions, may be used to purchase 

Additional Collateral Debt Securities during the Reinvestment Period. 

“Additional Collateral Debt Security” means a Bank Loan, Mezzanine Loan, Second Lien Loan, Special 

Debt Security, CLO Security or Synthetic Security including a Participation, purchased by or on behalf of 

the Issuer during or after the Reinvestment Period pursuant to the Collateral Management Agreement. 

“Additional Reinvestment Criteria” means the Additional Reinvestment Criteria specified in the 

Collateral Management Agreement. 

“Additional Security Documents” means each security document which may be required to be entered 

into by the Issuer from time to time in addition to the Trust Deed and the Euroclear Pledge Agreement in 

order to perfect any security granted by the Issuer to the Trustee pursuant to the Trust Deed and 

“Additional Security Document” shall mean any of them. 

“Adjustment Amount” means on any date, the product obtained by multiplying (x) the Principal Balance 

in respect of a Collateral Debt Security by (y) the difference between (A) 100 per cent. and (B) the 

applicable Recovery Percentage; provided that the Adjustment Amount with respect to the first 5 per cent. 

of the Maximum Investment Amount of all CCC Securities having the highest Market Value will be zero. 

“Administrative Expenses” means amounts due and payable in the order of priority listed below to: 

(a) the independent accountants, agents and counsel of the Issuer, including fees, costs and expenses 

payable to each Agent (other than the Capital Commitment Registrar) and the Account Bank pursuant 

to the Agency Agreement and the Bank Account Agreement respectively; 

(b) the Managing Directors pursuant to the Management Agreement; 

(c) the Collateral Administrator pursuant to the Collateral Administration Agreement; 

(d) any Rating Agency which may, from time to time, be requested to assign a rating to or reaffirm each 

rating of the Senior Notes and the other Rated Notes or a confidential credit estimate to any of the 

Collateral Debt Securities, for fees and expenses in connection with any such rating or confidential 

credit estimate and to any Rating Agency with respect to such Rating Agency’s fees and expenses in 

connection with its monitoring of the Rated Notes; 

(e) any Capital Commitment Registrar’s Fees; 

(f) 

any Person in respect of the fees, costs and expenses incurred by the Issuer in connection with any 

issue of Class A1B Refinancing Notes; 

52

(g) any other Person in respect of any governmental fee or charge; 

(h) any other Person in respect of any other fees or expenses permitted under these Conditions, the 

Transaction Documents and the documents delivered pursuant to or in connection with the Notes or the 

sale thereof (including the fees of any stock exchange on which the Notes are listed) other than any 

Class A1A Increased Margin; 

(i) 

(j) 

the Collateral Manager pursuant to the Collateral Management Agreement, but excluding any 

Collateral Management Fees; 

any amounts payable to the Liquidity Facility Provider including amounts of interest payable pursuant 

to Clause 8.1(c) and 8.2(c) of the Liquidity Facility Agreement but excluding amounts payable 

pursuant to Clause 6 (Repayment and Prepayment), the other provisions of Clause 8 (Interest) and 

Clause 18 (Fees) of the Liquidity Facility Agreement; 

(k) any Selling Institution in respect of fees, costs and expenses relating to any Participation after the date 

of entry into such Participation; and 

(l) 

any fees, costs or expenses incurred in connection with any Securities Lending Agreement; 

in each case, together with any VAT due and payable in respect thereof, provided that Administrative 

Expenses shall not include any Trustee Fees or amounts due or accrued with respect to the actions taken on 

or in connection with the Issue Date, including fees payable to the Rating Agencies and any other fees and 

expenses which are payable out of the proceeds of the issue of the Notes. 

“Affiliate” or “Affiliated” means with respect to a Person, (a) any other Person who directly or indirectly is 

in control of, or is controlled by, or is under common control with, such Person and any partnership in 

respect of which such Person is the general or managing partner or investment fund of which such Person is 

the manager or (b) any other Person who is a director, officer or employee (i) of such Person, (ii) of any 

subsidiary or parent company of such Person or (iii) of any Person described in paragraph (a) above. For 

the purposes of this definition, “control” of a Person shall mean the power, direct or indirect, (A) to vote 

more than 50 per cent. of the securities having ordinary voting power for the election of directors of such 

Person, or (B) to direct or cause the direction of the investments, management or policies of such Person 

whether by contract or otherwise. 

“Agents” means each of the Registrar, the Transfer Agents, the Exchange Rate Agent, the Custodian, the 

Capital Commitment Registrar and the Paying Agents and each of their permitted successors or assigns and 

“Agent” means any of them. 

“Applicable EURIBOR” means (a) with respect to the Notes, six month EURIBOR for the Notes or 

EURIBOR for such other appropriate period in respect of the first Interest Accrual Period and the Interest 

Accrual Period immediately prior to the Maturity Date or the Redemption Date; and (b) with respect to any 

Euro Drawings, Class A1A EURIBOR. 

“Asset Swap Transaction” means each asset swap transaction entered into pursuant to a Hedge Agreement 

by the Issuer with a Hedge Counterparty in connection with Non-Euro Collateral Debt Securities under 

which the Issuer swaps cash flows receivable on such Non-Euro Collateral Debt Securities for Euro 

denominated cash flows from such Hedge Counterparty. 

“Asset Swap Transaction Exchange Rate” means the exchange rate specified as such in, and applicable to 

each Asset Swap Transaction. 

“Authorised Denomination” means integral multiples of €1,000. 

“Authorised Officer” means, with respect to the Issuer, any Managing Director of the Issuer or person who 

is authorised to act for the Issuer in matters relating to, and binding upon, the Issuer. 

“Bank Loan” means (i) an Eligible Floating Rate Note; (ii) a Senior Secured Loan; or (iii) provided that 

Rating Agency Confirmation is received that it may be treated as a Bank Loan for the purposes of the 

53

Eligibility Criteria, an interest in any such obligation and (iv) a Synthetic Security, the Reference 

Obligation applicable to which is an obligation of the type described in paragraphs (i) to (iii) above. 

“Base Collateral Management Fee” means the sum of (i) the fee payable to the Collateral Manager on 

each Payment Date pursuant to the Collateral Management Agreement, equal to 0.10 per cent. per annum 

(calculated on the basis of a 360 day year and the actual number of days elapsed in such Due Period) of the 

daily weighted average aggregate of the Principal Balances of the Collateral Debt Securities during the Due 

Period ending immediately preceding such Payment Date and (ii) any value added tax in respect thereof 

(whether payable to the Collateral Manager or directly to the relevant taxing authority). 

“Basic Terms Modification” has the meaning given to it in Condition 14(a) (Meetings of Noteholders). 

“Break Costs” means, in relation to each Class A1A Noteholder and a Drawing repaid on a day other than 

a Payment Date, the amount (if any) calculated by the Principal Paying Agent by which (i) the interest 

which such Class A1A Noteholder should have received for the period from the date of receipt of all or any 

part of such Drawing to the next Payment Date, had the principal amount of such Drawing been paid on 

such Payment Date; exceeds (ii) the amount which such Class A1A Noteholder would have received had it 

received Class A1A EURIBOR with respect to Drawings in Euro or Class A1A LIBOR with respect to 

Drawings in Sterling (as applicable) on an amount equal to the principal amount of the Drawing or any part 

thereof, as the case may be, received by it for a period starting on the Business Day following receipt 

thereof and ending on the next Payment Date and by interpolating linearly between (i) the available offered 

rate for the period closest to and greater than the relevant period and (ii) the available offered rate for the 

period closest to and less than the relevant period. The determination of the Principal Paying Agent as to 

the amounts payable pursuant to this definition shall be conclusive absent manifest error, based upon the 

assumption that such Class A1A Noteholder funded its Class A1A Note purchase in the London Interbank 

Eurodollar market and using any reasonable attribution or averaging methods which such Class A1A 

Noteholder deemed appropriate and practical. 

“Business Day” means (unless otherwise defined): 

(a) a day on which the TARGET System is open; and 

(b) a day on which commercial banks and foreign exchange markets settle payments in London and New 

York City and on which banks are open for business in the place of the specified office of the Registrar 

(other than a Saturday, Sunday or public holiday). 

“Capital Commitment Register” shall have the meaning ascribed to it in the Class A1A Note Purchase 

Agreement. 

“Capital Commitment Registrar Fees” means the fees payable to the Capital Commitment Registrar in 

respect of its services in connection with the Class A1A Notes. 

“CCC Security” means any Collateral Debt Security (other than a Non-Performing Security) that has a 

Fitch Rating of “CCC+” or below or a S&P Rating of “CCC+” or below. 

“Class” or “Class of Notes” means, in respect of the Notes, the class of Notes identified as either Class 

A1A Notes, Class A1B Notes, Class A2 Notes, Class B Notes, Class C Notes, Class D Notes, Class E Notes 

or Class N Notes; provided that for the purposes of voting on resolutions, issuing directions to the Trustee 

and any other decisions required to be made by any Noteholders, the Class A Notes shall constitute one 

class and the most senior class for so long as the Class A Notes are Outstanding and “Class of 

Noteholders” shall be construed accordingly. 

“Class A Notes” means the Class A1A Notes, the Class A1B Notes and the Class A2 Notes. 

“Class A1A Aggregate Interest Amount” means the Class A1A Interest Amount plus any Commitment 

Fee. 

“Class A1A Day Count Fraction” means the day count fraction based on the actual number of days 

elapsed within the applicable Class A1A Notes Interest Period (and with respect to the first payment of 

interest on any Drawing made between Payment Dates only, the actual number of days elapsed from (and 

54

including) the date of such Drawing to (but excluding) the next following Payment Date) divided by (i) 360 

days in the case of each Euro Drawing and (ii) 365 days (or 366 days in a leap year) in the case of each 

Sterling Drawing, or, in each case, otherwise as market convention dictates, as determined by the Principal 

Paying Agent. 

“Class A1A Definitive Notes” means the Class A1A Regulation S Definitive Notes and the Class A1A 

Rule 144A Definitive Notes. 

“Class A1A EURIBOR” means in relation to any Euro Drawing or unpaid sum denominated in Euros 

under the Class A1A Note Purchase Agreement: 

(a) the percentage rate per annum of the offered quotation for deposits in Euros determined by the Banking 

Federation of the European Union for a period equal or comparable to the required period which 

appears on Telerate Page 248 at or about 11.00 a.m. (Brussels time) on the applicable Quotation Date 

(and, in respect of any Euro Drawing made between Payment Dates, an appropriate straight line 

interpolated rate for the period up to (but excluding) the next following Payment Date); or 

(b) if the rate cannot be determined under paragraph (a) above, the arithmetic mean (rounded upwards to 

the nearest four decimal places with the midpoint rounded upwards) as supplied to the Principal Paying 

Agent at its request quoted by the Class A1A Reference Banks to prime banks in the European 

interbank market, at or about 11.00 a.m. (Brussels time) on the Quotation Date for the offering of 

deposits in Euro (for the avoidance of doubt, being, in respect of any Euro Drawing made between 

Payment Dates, an appropriate straight line interpolated rate for the period up to (but excluding) the 

next following Payment Date) and for a period comparable to the required period for that Drawing or 

unpaid sum in Euro, 

and for the purposes of this definition: 

(c) “required period” means the applicable Class A1A Notes Interest Period for a Euro Drawing or the 

period in respect of which Class A1A EURIBOR falls to be determined in relation to any unpaid sum 

denominated in Euro; and 

(d) “Telerate Page 248” means the display designated as Page 248 on the Telerate Service (or such other 

pages as may replace Page 248 on that service or such other service as may be nominated by the 

Banking Federation of the European Union (including the Reuter’s Screen) as the information vendor 

for the purposes of displaying the Banking Federation of the European Union rates for deposits in 

Euros). 

“Class A1A Euro Rate of Interest” shall have the meaning ascribed to it in the Class A1A Note Purchase 

Agreement. 

“Class A1A Increased Margin” means any incremental interest accruing on the Class A1A Notes to the 

extent resulting from the accrual of interest on the Class A1A Notes at an additional rate of 0.15 per cent. 

per annum in respect of a Class A1A Notes Interest Period during which any of the Class A1A Senior Notes 

is not rated at least “AA” by Fitch and “AA” by S&P respectively. 

“Class A1A Interest Amount” shall have the meaning given thereto in Condition 6(k) (Interest on the 

Class A1A Notes). 

“Class A1A LIBOR” means, in relation to any Sterling Drawing or unpaid sum denominated in Sterling 

under the Class A1A Note Purchase Agreement: 

(a) the GBP-LIBOR-BBA, which appears on the relevant Quotation Date (for the avoidance of doubt, 

being, in respect of any Sterling Drawing made between Payment Dates, an appropriate straight line 

interpolated rate for the period up to (but excluding) the next following Payment Date); or 

(b) (if no GBP-LIBOR-BBA is available for Sterling for the required period) the arithmetic mean of the 

rates (rounded upwards to four decimal places with the mid-point rounded upwards) as supplied to the 

Principal Paying Agent at its request quoted by the Class A1A Reference Banks to leading banks in the 

London interbank market, at or about 11.00 a.m. (London time) on the Quotation Date for the offering 

55

of deposits in Sterling (for the avoidance of doubt, being, in respect of any Sterling Drawing made 

between Payment Dates, an appropriate straight line interpolated rate for the period up to (but 

excluding) the next following Payment Date) and for a period comparable to the required period for 

that Drawing or unpaid sum in Sterling, 

and for the purposes of this definition, “required period” means the applicable Class A1A Notes Interest 

Period for a Sterling Drawing or the period in respect of which Class A1A LIBOR falls to be determined in 

relation to any unpaid sum denominated in Sterling. 

“Class A1A Margin” has the meaning given thereto in Condition 6 (Interest). 

“Class A1A Noteholders” means the holders of the Class A1A Notes from time to time. 

“Class A1A Notes” means the €75,000,000 Class A1A Senior Secured Floating Rate Variable Funding 

Notes due 2023 and includes the Class A1A Regulation S Definitive Notes and the Class A1A Rule 144A 

Definitive Notes. 

“Class A1A Notes Interest Period” means the period commencing on (and including) the Issue Date or, as 

the case may be, the date on which a Drawing is made, to (but excluding) the next Payment Date (and 

thereafter from and including one Payment Date to and excluding the next Payment Date) or, if different, 

the date a Drawing is repaid (or such other period as may be agreed between the Issuer and the Principal 

Paying Agent, as instructed by the Class A1A Noteholders in the case of any Drawing which falls between 

Payment Dates) and, in respect of the last Class A1A Notes Interest Period, the period commencing on (and 

including) the Payment Date (or as the case may be, the date of a Drawing), that immediately precedes the 

Repayment Date to but excluding the Repayment Date. 

“Class A1A Reference Bank” shall have the meaning ascribed thereto in the Class A1A Note Purchase 

Agreement. 

“Class A1A Regulation S Definitive Notes” means the registered notes in definitive form to be issued in 

respect of the Class A1A Notes pursuant to the Trust Deed and the Class A1A Note Purchase Agreement 

and sold under Regulation S, substantially in the form set out in the Trust Deed or, as the context may 

require, a specific number thereof and includes replacements for Class A1A Regulation S Definitive Notes 

issued pursuant to the Conditions. 

“Class A1A Rule 144A Definitive Notes” means the registered notes in definitive form to be issued in 

respect of the Class A1A Notes pursuant to the Trust Deed and the Class A1A Note Purchase Agreement 

and sold under Rule 144A, substantially in the form set out in the Trust Deed or, as the context may require, 

a specific number thereof and includes any replacements for the Class A1A Rule 144A Definitive Notes 


“Class A1A Sterling Rate of Interest” shall have the meaning ascribed to it in the Class A1A Note 


“Class A1B Definitive Notes” means the Class A1B Regulation S Definitive Notes and the Class A1B 

Rule 144A Definitive Notes. 

“Class A1B Further Issue Notes” has the meaning given to it in Condition 17 (Further Issues). 

“Class A1B Global Notes” means each of the Class A1B Regulation S Global Note and the Class A1B 

Rule 144A Global Note. 

“Class A1B Margin” has the meaning given thereto in Condition 6 (Interest). 

“Class A1B Note Interest Rate” has the meaning given thereto in Condition 6 (Interest). 

“Class A1B Noteholders” means the holders of the Class A1B Notes from time to time. 

“Class A1B Notes” means the €75,000,000 Class A1B Senior Secured Floating Rate Notes due 2023 and 

the Class A1B Refinancing Notes (if issued) or the amount thereof for the time being Outstanding, or as the 

56

context may require, a specific number thereof and, unless expressly stated to the contrary, all references to 

the Class A1B Notes shall be a reference to such Class A1B Notes whether in global form or definitive 

form and issued pursuant to Regulation S or Rule 144A. 

“Class A1B Regulation S Definitive Notes” means the registered notes in definitive form to be issued in 

respect of the Class A1B Regulation S Notes pursuant to, and in the circumstances specified in, the Trust 

Deed and sold under Regulation S, substantially in the form set out in the Trust Deed or, as the context may 

require, a specific number thereof and includes any replacements for Class A1B Regulation S Definitive 

Notes issued pursuant to the Conditions. 

“Class A1B Regulation S Global Note” means the global note to be issued by the Issuer pursuant to the 

Trust Deed representing the Class A1B Regulation S Notes, substantially in the form set out in the Trust 

Deed. 

“Class A1B Regulation S Notes” means the Class A1B Regulation S Global Note and the Class A1B 

Regulation S Definitive Notes. 

“Class A1B Rule 144A Definitive Notes” means the registered notes in definitive form to be issued in 

respect of the Class A1B Rule 144A Notes pursuant to, and in the circumstances specified in, the Trust 

Deed and sold under Rule 144A, substantially in the form set out in the Trust Deed or, as the context may 

require, a specific number thereof and includes any replacements for Class A1B Rule 144A Definitive 


“Class A1B Rule 144A Global Note” means the global note to be issued by the Issuer pursuant to the Trust 

Deed representing the Class A1B Rule 144A Notes, substantially in the form set out in the Trust Deed. 

“Class A1B Rule 144A Notes” means the Class A1B Rule 144A Global Note and the Class A1B Rule 

144A Definitive Notes. 

“Class A1B Refinancing Noteholders” means the holder of the Class A1B Refinancing Notes from time to 

time. 

“Class A1B Refinancing Notes” means any Class A1B Notes issued by the Issuer pursuant to Condition 

17(a) (Further Issues) after the Issue Date. 

“Class A2 Definitive Notes” means the Class A2 Regulation S Definitive Notes and the Class A2 Rule 

144A Definitive Notes. 

“Class A2 Further Issue Notes” has the meaning given to it in Condition 17 (Further Issues). 

“Class A2 Global Notes” means each of the Class A2 Regulation S Global Note and the Class A2 Rule 

144A Global Note. 

“Class A2 Margin” has the meaning given thereto in Condition 6 (Interest). 

“Class A2 Note Interest Rate” has the meaning given thereto in Condition 6 (Interest). 

“Class A2 Noteholders” means the holders of the Class A2 Notes from time to time. 

“Class A2 Notes” means the €48,800,000 Class A2 Senior Secured Floating Rate Notes due 2023 or the 

amount thereof for the time being Outstanding, or as the context may require, a specific number thereof 

and, unless expressly stated to the contrary, all references to the Class A2 Notes shall be a reference to such 

Class A2 Notes whether in global form or definitive form and issued pursuant to Regulation S or Rule 

144A. 

“Class A2 Regulation S Definitive Notes” means the registered notes in definitive form to be issued in 

respect of the Class A2 Regulation S Notes pursuant to, and in the circumstances specified in, the Trust 

Deed and sold under Regulation S, substantially in the form set out in the Trust Deed or, as the context may 

57

equire, a specific number thereof and includes any replacements for Class A2 Regulation S Definitive 


“Class A2 Regulation S Global Note” means the global note to be issued by the Issuer pursuant to the 

Trust Deed representing the Class A2 Regulation S Notes, substantially in the form set out in the Trust 

Deed. 

“Class A2 Regulation S Notes” means the Class A2 Regulation S Global Note and the Class A2 

Regulation S Definitive Notes. 

“Class A2 Rule 144A Definitive Notes” means the registered notes in definitive form to be issued in 

respect of the Class A2 Rule 144A Notes pursuant to, and in the circumstances specified in, the Trust Deed 

and sold under Rule 144A, substantially in the form set out in the Trust Deed or, as the context may require, 

a specific number thereof and includes any replacements for the Class A2 Rule 144A Definitive Notes 


“Class A2 Rule 144A Global Note” means the global note to be issued by the Issuer pursuant to the Trust 

Deed representing the Class A2 Rule 144A Notes, substantially in the form set out in the Trust Deed. 

“Class A2 Rule 144A Notes” means the Class A2 Rule 144A Global Note and the Class A2 Rule 144A 


“Class B Deferred Interest” has the meaning given thereto in Condition 6 (Interest). 

“Class B Definitive Notes” means the Class B Regulation S Definitive Notes and the Class B Rule 144A 


“Class B Further Issue Notes” has the meaning given to it in Condition 17 (Further Issues). 

“Class B Global Notes” means each of the Class B Regulation S Global Note and the Class B Rule 144A 

Global Note. 

“Class B Margin” has the meaning given thereto in Condition 6 (Interest). 

“Class B Note Interest Rate” has the meaning given thereto in Condition 6 (Interest). 

“Class B Noteholders” means the holders of the Class B Notes from time to time. 

“Class B Notes” means the €24,130,000 Class B Deferrable Secured Floating Rate Notes due 2023 or the 


and, unless expressly stated to the contrary, all references to the Class B Notes shall be a reference to such 

Class B Notes whether in global form or definitive form and issued pursuant to Regulation S or Rule 144A. 

“Class B Overcollateralisation Ratio” means, as at any Measurement Date, the ratio (expressed as a 

percentage) obtained by dividing the Net Portfolio Collateral Balance by the aggregate principal amount of 

the Senior Notes and the Class B Notes Outstanding (including for the avoidance of doubt, any Class B 

Deferred Interest). 

“Class B Overcollateralisation Ratio Test” shall be satisfied in respect of any Measurement Date falling 

on or after the Target Date, if on such Measurement Date, the Class B Overcollateralisation Ratio is at least 

125 per cent. 

“Class B Regulation S Definitive Notes” means the registered notes in definitive form to be issued in 

respect of the Class B Regulation S Notes pursuant to, and in the circumstances specified in, the Trust Deed 


require, a specific number thereof and includes any replacements for Class B Regulation S Definitive Notes 


58

“Class B Regulation S Global Note” means the global note to be issued by the Issuer pursuant to the Trust 

Deed representing the Class B Regulation S Notes, substantially in the form set out in the Trust Deed. 

“Class B Regulation S Notes” means the Class B Regulation S Global Note and the Class B Regulation S 


“Class B Rule 144A Definitive Notes” means the registered notes in definitive form to be issued in respect 

of the Class B Rule 144A Notes pursuant to, and in the circumstances specified in, the Trust Deed and sold 

under Rule 144A, substantially in the form set out in the Trust Deed or, as the context may require, a 

specific number thereof and includes any replacements for Class B Rule 144A Definitive Notes issued 

pursuant to the Conditions. 

“Class B Rule 144A Global Note” means the global note to be issued by the Issuer pursuant to the Trust 

Deed representing the Class B Rule 144A Notes, substantially in the form set out in the Trust Deed. 

“Class B Rule 144A Notes” means the Class B Rule 144A Global Note and the Class B Rule 144A 


“Class C Deferred Interest” has the meaning given thereto in Condition 6 (Interest). 

“Class C Definitive Notes” means the Class C Regulation S Definitive Notes and the Class C Rule 144A 


“Class C Further Issue Notes” has the meaning given to it in Condition 17 (Further Issues). 

“Class C Global Notes” means each of the Class C Regulation S Global Note and the Class C Rule 144A 

Global Note. 

“Class C Margin” has the meaning given thereto in Condition 6 (Interest). 

“Class C Note Interest Rate” has the meaning given thereto in Condition 6 (Interest). 

“Class C Noteholders” means the holders of the Class C Notes from time to time. 

“Class C Notes” means the €21,900,000 Class C Deferrable Secured Floating Rate Notes due 2023 or the 


and, unless expressly stated to the contrary, all references to the Class C Notes shall be a reference to such 

Class C Notes whether in global form or definitive form and issued pursuant to Regulation S or Rule 144A. 

“Class C Overcollateralisation Ratio” means, as at any Measurement Date, the ratio (expressed as a 


the Senior Notes, the Class B Notes and the Class C Notes Outstanding (including for the avoidance of 

doubt, any Class B Deferred Interest and Class C Deferred Interest). 

“Class C Overcollateralisation Ratio Test” shall be satisfied in respect of any Measurement Date falling 

on or after the Target Date if, on such Measurement Date, the Class C Overcollateralisation Ratio is at least 


“Class C Regulation S Definitive Notes” means the registered notes in definitive form to be issued in 

respect of the Class C Regulation S Notes pursuant to, and in the circumstances specified in, the Trust Deed 


require, a specific number thereof and includes any replacements for Class C Regulation S Definitive Notes 


“Class C Regulation S Global Note” means the global note to be issued by the Issuer pursuant to the Trust 

Deed representing the Class C Regulation S Notes, substantially in the form set out in the Trust Deed. 

“Class C Regulation S Notes” means the Class C Regulation S Global Note and the Class C Regulation S 


59

“Class C Rule 144A Definitive Notes” means the registered notes in definitive form to be issued in respect 

of the Class C Rule 144A Notes pursuant to, and in the circumstances specified in, the Trust Deed and sold 


specific number thereof and includes any replacements for Class C Rule 144A Definitive Notes issued 


“Class C Rule 144A Global Note” means the global note to be issued by the Issuer pursuant to the Trust 

Deed representing the Class C Rule 144A Notes, substantially in the form set out in the Trust Deed. 

“Class C Rule 144A Notes” means the Class C Rule 144A Global Note and the Class C Rule 144A 


“Class D Deferred Interest” has the meaning given thereto in Condition 6 (Interest). 

“Class D Definitive Notes” means the Class D Regulation S Definitive Notes and the Class D Rule 144A 


“Class D Further Issue Notes” has the meaning given to it in Condition 17 (Further Issues). 

“Class D Global Notes” means each of the Class D Regulation S Global Note and the Class D Rule 144A 

Global Note. 

“Class D Margin” has the meaning given thereto in Condition 6 (Interest). 

“Class D Note Interest Rate” has the meaning given thereto in Condition 6 (Interest). 

“Class D Noteholders” means the holders of the Class D Notes from time to time. 

“Class D Notes” means the €22,020,000 Class D Deferrable Secured Floating Rate Notes due 2023 or the 


and, unless expressly stated to the contrary, all references to the Class D Notes shall be a reference to such 

Class D Notes whether in global form or definitive form and issued pursuant to Regulation S or Rule 144A. 

“Class D Overcollateralisation Ratio” means, as at any Measurement Date, the ratio (expressed as a 


the Senior Notes, the Class B Notes, the Class C Notes and the Class D Notes Outstanding (including for 

the avoidance of doubt, any Class B Deferred Interest, Class C Deferred Interest and Class D Deferred 

Interest). 

“Class D Overcollateralisation Ratio Test” shall be satisfied in respect of any Measurement Date falling 

on or after the Target Date if, on such Measurement Date, the Class D Overcollateralisation Ratio is at least 


“Class D Regulation S Definitive Notes” means the registered notes in definitive form to be issued in 

respect of the Class D Regulation S Notes pursuant to, and in the circumstances specified in, the Trust Deed 


require, a specific number thereof and includes any replacements for Class D Regulation S Definitive Notes 


“Class D Regulation S Global Note” means the global note to be issued by the Issuer pursuant to the Trust 

Deed representing the Class D Regulation S Notes, substantially in the form set out in the Trust Deed. 

“Class D Regulation S Notes” means the Class D Regulation S Global Note and the Class D Regulation S 


“Class D Rule 144A Definitive Notes” means the registered notes in definitive form to be issued in respect 

of the Class D Rule 144A Notes pursuant to, and in the circumstances specified in, the Trust Deed and sold 


60

specific number thereof and includes any replacements for Class D Rule 144A Definitive Notes issued 


“Class D Rule 144A Global Note” means the global note to be issued by the Issuer pursuant to the Trust 

Deed representing the Class D Rule 144A Notes, substantially in the form set out in the Trust Deed. 

“Class D Rule 144A Notes” means the Class D Rule 144A Global Note and the Class D Rule 144A 


“Class E Deferred Interest” has the meaning given thereto in Condition 6 (Interest). 

“Class E Definitive Notes” means the Class E Regulation S Definitive Notes and the Class E Rule 144A 


“Class E Further Issue Notes” has the meaning given to it in Condition 17 (Further Issues). 

“Class E Global Notes” means each of the Class E Regulation S Global Note and the Class E Rule 144A 

Global Note. 

“Class E Margin” has the meaning given thereto in Condition 6 (Interest). 

“Class E Note Interest Rate” has the meaning given thereto in Condition 6 (Interest). 

“Class E Noteholders” means the holders of the Class E Notes from time to time. 

“Class E Notes” means the €10,780,000 Class E Deferrable Secured Floating Rate Notes due 2023 or the 


and, unless expressly stated to the contrary, all references to the Class E Notes shall be a reference to such 

Class E Notes whether in global form or definitive form and issued pursuant to Regulation S or Rule 144A. 

“Class E Overcollateralisation Ratio” means, as at any Measurement Date, the ratio (expressed as a 


the Senior Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes 

Outstanding (including for the avoidance of doubt, the Class B Deferred Interest, the Class C Deferred 

Interest, the Class D Deferred Interest and the Class E Deferred Interest). 

“Class E Overcollateralisation Ratio Test” shall be satisfied in respect of any Measurement Date falling 

on or after the Target Date if, on such Measurement Date, the Class E Overcollateralisation Ratio is at least 


“Class E Regulation S Definitive Notes” means the registered notes in definitive form to be issued in 

respect of the Class E Regulation S Notes pursuant to, and in the circumstances specified in, the Trust Deed 


require, a specific number thereof and includes any replacements for Class E Regulation S Definitive Notes 


“Class E Regulation S Global Note” means the global note to be issued by the Issuer pursuant to the Trust 

Deed representing the Class E Regulation S Notes, substantially in the form set out in the Trust Deed. 

“Class E Regulation S Notes” means the Class E Regulation S Global Note and the Class E Regulation S 


“Class E Rule 144A Definitive Notes” means the registered notes in definitive form to be issued in respect 

of the Class E Rule 144A Notes pursuant to, and in the circumstances specified in, the Trust Deed and sold 


specific number thereof and includes any replacements for Class E Rule 144A Definitive Notes issued 


61

“Class E Rule 144A Global Note” means the global note to be issued by the Issuer pursuant to the Trust 

Deed representing the Class E Rule 144A Notes, substantially in the form set out in the Trust Deed. 

“Class E Rule 144A Notes” means the Class E Rule 144A Global Note and the Class E Rule 144A 


“Class N Definitive Notes” means the Class N Regulation S Definitive Notes and the Class N Rule 144A 


“Class N Further Issue Notes” has the meaning given to it in Condition 17 (Further Issues). 

“Class N Global Notes” means each of the Class N Regulation S Global Note and the Class N Rule 144A 

Global Note. 

“Class N Noteholders” means the holders of the Class N Notes from time to time. 

“Class N Notes” means the €32,800,000 Class N Subordinated Notes due 2023 or the amount thereof for 

the time being Outstanding, or as the context may require, a specific number thereof and, unless expressly 

stated to the contrary, all references to the Class N Notes shall be a reference to such Class N Notes whether 

in global form or definitive form and issued pursuant to Regulation S or Rule 144A. 

“Class N Regulation S Definitive Notes” means the registered notes in definitive form to be issued in 

respect of the Class N Regulation S Notes pursuant to, and in the circumstances specified in, the Trust Deed 


require, a specific number thereof and includes any replacements for Class N Regulation S Definitive Notes 


“Class N Regulation S Global Note” means the global note to be issued by the Issuer pursuant to the Trust 

Deed representing the Class N Regulation S Notes, substantially in the form set out in the Trust Deed. 

“Class N Regulation S Notes” means the Class N Regulation S Global Note and the Class N Regulation S 


“Class N Rule 144A Definitive Notes” means the registered notes in definitive form to be issued in respect 

of the Class N Rule 144A Notes pursuant to, and in the circumstances specified in, the Trust Deed and sold 


specific number thereof and includes any replacements for the Class N Rule 144A Definitive Notes issued 


“Class N Rule 144A Global Note” means the global note to be issued by the Issuer pursuant to the Trust 

Deed representing the Class N Rule 144A Notes, substantially in the form set out in the Trust Deed. 

“Class N Rule 144A Notes” means the Class N Rule 144A Global Note and the Class N Rule 144A 


“CLO Securities” means a security that entitles the holder thereof to receive payments that depend on the 

cash flow from a portfolio which consists primarily of commercial or industrial bank loans or corporate 

loans or any combination of the above. For the avoidance of doubt, a CLO Security shall not be classified 

as a Structured Finance Security and shall not include any bespoke synthetic collateralised debt obligations. 

“Code” means the U.S. Internal Revenue Code of 1986, as amended. 

“Collateral” means the property, assets and benefits described in Condition 4 (Security) which are charged 

and assigned to the Trustee from time to time for the benefit of the Secured Parties pursuant to the Trust 

Deed or the Euroclear Pledge Agreement. 

“Collateral Acquisition Agreements” means the agreement or agreements entered into by the Issuer in 

relation to the purchase by the Issuer of Bank Loans, Mezzanine Loans, Second Lien Loans, CLO 

Securities, Special Debt Securities and Synthetic Securities and the assignment, participation or sub- 

62

participation, as the case may be, of Bank Loans, Mezzanine Loans and Second Lien Loans on or prior to 

the Issue Date, together with any other agreements entered into by or on behalf of the Issuer from time to 

time for the acquisition of Collateral Debt Securities thereafter. 

“Collateral Debt Security” means on and following the acquisition thereof, any Bank Loan, Mezzanine 

Loan, Second Lien Loan, CLO Securities, Special Debt Security or Synthetic Security including any 

Participation purchased or acquired by the Issuer or the Collateral Manager on behalf of the Issuer from 

time to time pursuant to the Collateral Management Agreement which at the time of purchase or acquisition 

satisfied paragraphs (a) and (b) of the Eligibility Criteria (if acquired during the Ramp-Up Period) and the 

Reinvestment Criteria (if acquired during the Reinvestment Period) and the Reinvestment Criteria and the 

Additional Reinvestment Criteria (if acquired after the Reinvestment Period) (provided that, solely for the 

purpose of the grant of any security interest to the Trustee for the benefit of the Secured Parties pursuant to 

the Trust Deed and the Euroclear Pledge Agreement and all the rights thereunder, Collateral Debt Securities 

shall mean all Bank Loans, Mezzanine Loans, Second Lien Loans, CLO Securities, Special Debt Securities, 

Synthetic Securities and Participations and all other securities, loans or other obligations, instruments or 

investments, regardless of whether such securities, loans or other obligations, instruments or investments 

satisfied the Eligibility Criteria, the Reinvestment Criteria or the Additional Reinvestment Criteria at the 

time of purchase or acquisition or at any time after their purchase or acquisition except that they shall not 

consist of Dutch Ineligible Securities). References to Collateral Debt Securities shall not include Eligible 

Investments, Collateral Enhancement Securities or Defaulted Equity Securities. 

“Collateral Enhancement Account” means the account(s) so named of the Issuer held with the Account 

Bank, amounts standing to the credit of which from time to time may be applied in, inter alia, the 

acquisition of Collateral Enhancement Securities by or on behalf of the Issuer in accordance with the 

Collateral Management Agreement and into which the proceeds of any sale of, or Distributions in respect 

of, Collateral Enhancement Securities, together with certain other amounts, may be deposited from time to 

time. 

“Collateral Enhancement Security” means any warrant or equity security excluding Defaulted Equity 

Securities but including, without limitation, warrants relating to Mezzanine Loans or Second Lien Loans 

and any equity security received upon conversion or exchange of, or exercise of an option under, or 

otherwise in respect of a Collateral Debt Security, or any warrant or equity security purchased as part of a 

unit with a Collateral Debt Security, in each case, the acquisition, ownership or disposition of which will 

not (a) result in the imposition of any present or future, actual or contingent, liabilities or obligations on the 

Issuer other than those which may arise at its option, or (b) subject the Issuer to tax on a net income basis; 

provided that no such Collateral Enhancement Security may be a Dutch Ineligible Security or a security or 

obligation that is convertible into or exchangeable for a Dutch Ineligible Security and must not constitute 

Margin Stock (as defined under Regulation U issued by the Board of Governors of the United States 

Federal Reserve System). 

“Collateral Management Fee” means each of the Base Collateral Management Fee, the Incentive 

Collateral Management Fee, the Subordinated Collateral Management Fee and, if applicable, the 

Replacement Collateral Manager Subordinated Fee. 

“Collateral Manager Termination Amount” means the amount, determined pursuant to the Collateral 

Management Agreement, payable to the Collateral Manager in respect of the termination of its services 

under the Collateral Management Agreement without cause (together with any applicable value added tax 

thereon whether payable to the Collateral Manager or directly to the relevant taxing authority). 

“Collateral Quality Tests” has the meaning given to such term in the Collateral Administration 

Agreement. 

“Collateral Tax Event” means the introduction of a new, or any change in, home jurisdiction or foreign tax 

statute, treaty, regulation, rule, ruling, practice, procedure or judicial decision or interpretation which results 

in any portion of any payment due from any issuer or obligor under any Collateral Debt Security held by or 

on behalf of the Issuer becoming properly subject to the imposition of home jurisdiction or foreign 

withholding tax which withholding tax (i) is not compensated for by a “gross-up” provision in the terms of 

the Collateral Debt Security and (ii) amounts, in the aggregate, to 5 per cent. or more of the aggregate 

interest payments on all of the Collateral Debt Securities held by or on behalf of the Issuer during the 

related Due Period. 

63

“Collection Accounts” means the Interest Collection Account, the Principal Collection Account, the 

Sterling Interest Account and the Sterling Principal Account. 

“Commitment Fee” means the commitment fee on the Class A1A Notes, calculated in accordance with the 

Class A1A Note Purchase Agreement and as set out in Condition 6(j) (Class A1A Notes Facility 

Commitment Fee). 

“Conditions” means these terms and conditions. 

“Controlling Class” means (i) the Senior Notes, (ii) following redemption and repayment in full of the 

Senior Notes, including the cancellation of the Total Commitments under the Class A1A Notes, the Class B 

Notes, (iii) following redemption and repayment in full of the Class B Notes, the Class C Notes, (iv) 

following redemption and repayment in full of the Class C Notes, the Class D Notes, (v) following 

redemption and repayment in full of the Class D Notes, the Class E Notes, (vi) following redemption and 

repayment in full of the Class E Notes, the Class N Notes. 

“Coverage Test” means each of the Senior Coverage Tests, the Class B Overcollateralisation Ratio Test, 

the Class C Overcollateralisation Ratio Test, the Class D Overcollateralisation Ratio Test and the Class E 

Overcollateralisation Ratio Test. 

“Credit Improved Security” means any Collateral Debt Security which, in the reasonable business 

judgment of the Collateral Manager, has significantly improved in credit quality including a Collateral Debt 

Security: 

(a) which has been upgraded by at least one rating sub category by any Rating Agency or put on a watch 

list for possible upgrade by any Rating Agency; or 

(b) whose obligor has significantly improved financial results; or 

(c) whose obligor has raised equity capital or other capital which has improved the liquidity or credit 

standing of such obligor; or 

(d) which has increased in price to 100.75 per cent. or more in the case of Collateral Debt Securities which 

are Special Debt Securities, or 100.50 per cent. or more in the case of Collateral Debt Securities which 

are CLO Securities or 100.50 per cent. or more in the case of Collateral Debt Securities which are 

Mezzanine Loans, Second Lien Loans or Bank Loans, in each case, of the original purchase price 

thereof; 

(e) which has experienced a reduction in its credit spread of 0.25 per cent. in the case of a Special Debt 

Security; or 

(f) 

which is so designated by the Collateral Manager, acting in a reasonable commercial manner, 

in each case of (a) through (f) of this definition, since the date on which such Collateral Debt Security was 

purchased, provided however that if: 

(i) 

(ii) 

the ratings of the Senior Notes have been reduced by one or more rating sub categories from 

those in existence at the Issue Date or withdrawn by any Rating Agency (other than following 

a redemption of the relevant Notes in full); or 

the ratings of the Class B Notes, the Class C Notes, the Class D Notes or the Class E Notes 

have been reduced by two or more rating sub categories from those in existence at the Issue 

Date or withdrawn by any Rating Agency (other than following a redemption of the relevant 

Notes in full), 

either (x) the public credit rating or confidential credit estimate of such Collateral Debt Security must 

have been upgraded by at least one rating sub category by such Rating Agency or put on a watch list 

for possible upgrade by such Rating Agency since the date of acquisition thereof or the price of such 

Collateral Debt Security must have increased to 100.75 per cent. or more, in the case of Collateral Debt 

Securities which are Mezzanine Loans, Second Lien Loans or Bank Loans, or 101.00 per cent. or more 

64

in the case of Collateral Debt Securities which are Special Debt Securities or 100.75 per cent. or more 

in the case of Collateral Debt Securities which are CLO Securities, in each case, of the original 

purchase price thereof or (y) such Collateral Debt Security must have experienced a reduction in credit 

spread (1) by 0.25 per cent. or more, in the event that the original credit spread was equal to or less than 

2.00 per cent., or (2) by 0.375 per cent. or more, in the event that the original credit spread was more 

than 2.00 per cent. but less than 4.00 per cent., or (3) by 0.5 per cent. or more, in the event that the 

original credit spread was 4.00 per cent. or more in each case since the date on which such Collateral 

Debt Security was purchased; and provided further that a Participation or Synthetic Security shall 

constitute a Credit Improved Security in the event that the Collateral Debt Security to which such 

Participation relates or, as the case may be, the Reference Obligation to which such Collateral Debt 

Security is linked would constitute a Credit Improved Security if it were itself a Collateral Debt 

Security. 

“Credit Risk Security” means any Collateral Debt Security which, in the reasonable business judgment of 

the Collateral Manager, has a significant risk of declining in credit quality and, with a lapse of time, 

becoming a Defaulted Security and provided further that if: 

(a) the ratings of the Senior Notes have been reduced by one or more rating sub categories from those in 

existence at the Issue Date or withdrawn by any Rating Agency (other than following a redemption of 

the relevant Notes in full); or 

(b) the ratings of the Class B Notes, the Class C Notes, the Class D Notes or the Class E Notes have been 

reduced by two or more rating sub categories from those in existence at the Issue Date or withdrawn by 

any Rating Agency (other than following a redemption of the relevant Notes in full), 

either (x) the public credit rating or confidential credit estimate of such Collateral Debt Security must have 

been downgraded by at least one rating sub category by such Rating Agency or put on a watch list for 

possible downgrade by such Rating Agency since the date of acquisition thereof or the price has decreased 

by 1.00 per cent. or more in the case of Collateral Debt Securities which are Special Debt Securities, and 

1.00 per cent. or more in the case of Collateral Debt Securities which are CLO Securities and 1.00 per cent. 

or more in the case of Collateral Debt Securities which are Mezzanine Loans, Second Lien Loans or Bank 

Loans, in each case, of the original purchase price thereof or (y) such Collateral Debt Security must have 

experienced an increase in credit spread (1) by 0.25 per cent. or more, in the event that the original credit 

spread was equal to or less than 2.00 per cent., or (2) by 0.375 per cent. or more, in the event that the 

original credit spread was more than 2.00 per cent. but less than 4.00 per cent. or (3) by 0.5 per cent. or 

more, in the event that the original credit spread was 4.00 per cent. or more, in each case since the date on 

which such Collateral Debt Security was purchased or (z) in the case of any PIK Security, the issuer of, or 

obligor (or in the case of a Synthetic Security of which the Reference Obligation is a PIK Security, the 

related Reference Obligor) in respect of such PIK Security must have previously deferred and capitalised as 

principal any interest due thereon (except to the extent any interest so deferred and capitalised has 

subsequently been paid in full in cash to the Issuer (whether directly or, in the case of a Synthetic Security, 

indirectly)); and provided that a Participation or Synthetic Security shall constitute a Credit Risk Security in 

the event that the Collateral Debt Security to which such Participation relates or, as the case may be, 

Reference Obligation to which such Collateral Debt Security is linked would constitute a Credit Risk 

Security if it were itself a Collateral Debt Security. 

“Currency Account” means any account which may be required to be opened by the Issuer with the 

Account Bank from time to time to enable payments received from Non-Euro Collateral Debt Securities 

which are not denominated in Euro to be paid prior to payments being made by the Issuer to the relevant 

Hedge Counterparty pursuant to an Asset Swap Transaction. 

“Current Pay Obligation” means a Collateral Debt Security which would otherwise be a Defaulted 

Security but as to which (i) the most recent interest payment due thereon was paid in cash and the Collateral 

Manager reasonably expects (as determined in the reasonable business judgement of the Collateral 

Manager) that the next interest payment due will be paid in cash which reasonable expectation shall be 

evidenced in writing to the Issuer, the Collateral Administrator and the Trustee; provided however that the 

Collateral Manager shall not be liable at all in the event such interest payment is not paid in part or in full, 

(ii) has a S&P Rating (public or private) of at least “CCC”, (iii) the Market Value of which is at least 80 per 

cent. of par, and (iv) if the Obligor under such Collateral Debt Security is subject to any bankruptcy 

proceedings, a bankruptcy court has authorised the payment of interest due and payable on such Collateral 

65

Debt Security; provided always (I) that (a) a Synthetic Security may be a Current Pay Obligation if it or its 

Reference Obligation is a Current Pay Obligation and (b) no more than 7.5 per cent. of the Maximum 

Investment Amount will be comprised of Current Pay Obligations at any time and (II) that if any Current 

Pay Obligation is also a CCC Security then such Current Pay Obligation shall be considered as a CCC 

Security and not as a Current Pay Obligation. 

“Custody Account” means the custody account or accounts established on the books of and maintained and 

administered outside The Netherlands by the Custodian from time to time in accordance with the provisions 

of the Agency Agreement, which term shall include each cash account relating to each such custody 

account (if any) and the Euroclear Pledged Account. 

“Defaulted Equity Security” means any equity security delivered to the Issuer upon acceptance of an 

Offer in respect of a Defaulted Security, provided that it is not a Dutch Ineligible Security. 

“Defaulted Security” means any Collateral Debt Security or any other security included in the Collateral: 

(a) (i) with respect to which a default as to the payment of principal and/or interest has occurred and is 

continuing (without regard to any grace period applicable thereto or any waiver of such payment 

default, except if the Collateral Manager certifies in writing that the default is not for credit related 

reasons then a grace period of up to five business days shall apply), (ii) with respect to which any other 

default thereunder or under the related Underlying Instrument has occurred, which default entitles the 

holders thereof, with notice, the giving of any certification or the making of any determination, or the 

passage of time or some or all of the aforesaid, pursuant to the related Underlying Instrument to 

accelerate the maturity of all or a portion of the principal amount of such obligation or security or (iii) 

in respect of which, the Collateral Manager becomes aware (based upon publicly available information) 

that the Obligor thereunder is in default as to payment of principal and/or interest on another obligation 

(and such default has not been cured), save for obligations constituting trade debts which the applicable 

Obligor is disputing in good faith, but only if one of the following conditions is satisfied: 

(A) both such other obligation and the Collateral Debt Security are full recourse, unsecured 

obligations and the other obligation is senior to, or pari passu with, the Collateral Debt 

Security in right of payment; or 

(B) if the following conditions are satisfied: 

(1) both such other obligation and the Collateral Debt Security are full recourse, secured 

obligations secured by identical collateral; 

(2) the security interest securing the other obligation is senior to or pari passu with the 

security interest securing the Collateral Debt Security; and 

(3) the other obligation is senior to or pari passu with the Collateral Debt Security in right of 

payment, 

save that a Collateral Debt Security shall not constitute a Defaulted Security under this paragraph 

(a)(iii) if it is a Current Pay Obligation and in each of (a)(i), (ii) and (iii) only so long as such 

default has not been cured; 

(b) that is a Participation in a loan or other debt security that would, if such loan or other debt security 

were a Collateral Debt Security, constitute a Defaulted Security under paragraph (a) above (a 

“Defaulted Participation Security”); 

(c) that is a Participation (other than a Secured Participation) in a loan or in a security (other than a 

Defaulted Participation Security) with respect to which the Selling Institution has defaulted in the 

performance of any of its payment obligations under the related Participation; 

(d) that is a Synthetic Security referencing a Reference Obligation with respect to which an event or 

circumstance specified with respect to such Synthetic Security has occurred and is continuing and such 

event or circumstance is, or with the passage or lapse of time or both will be the basis for a reduction in 

the principal amount payable under such Synthetic Security and the documentation for such Synthetic 

66

Security provides that the reduction in the principal amount payable is permanent (a “Defaulted 

Synthetic Security”); 

(e) that is a Synthetic Security (other than a Defaulted Synthetic Security) with respect to which the 

Synthetic Security Obligor has defaulted in the performance of any of its payment obligations under the 

Synthetic Security; 

(f) 

the issuer of which Collateral Debt Security is the subject of a bankruptcy, insolvency, receivership or 

other analogous proceeding and the Collateral Manager has knowledge of such proceedings from 

public or other sources of information normally available to it. The Collateral Manager shall be 

responsible for obtaining, to the extent reasonably practicable from public sources of information 

normally available to it, knowledge of such proceedings; 

(g) that is rated “D” by Fitch or “SD” by S&P; 

(h) the issuer generally makes a binding offer to holders of such Collateral Debt Security of a new security 

or package of securities that, in the reasonable commercial judgement of the Collateral Manager, 

amounts to a diminished financial obligation (such as preferred or common shares or a debt with a 

lower coupon or par amount) of such issuer and in the reasonable business judgement of the Collateral 

Manager, such offer has the apparent purpose of helping such issuer avoid a default pursuant to the 

Underlying Instrument of such Collateral Debt Security; provided that a Collateral Debt Security shall 

not constitute a Defaulted Security under this paragraph (h) if (i) it has been acquired in a distressed 

exchange and meets the definition of Collateral Debt Security; or (ii) in the Collateral Manager’s 

reasonable business judgement, the Collateral Manager believes that the issuer of such Collateral Debt 

Security will pay its interest obligation in full on the next scheduled payment date in which case such 

Collateral Debt Security shall be treated as a Current Pay Obligation; or 

(i) 

that is a CLO Security, whose overcollateralisation ratio or the overcollateralisation ratio (calculated in 

accordance with the terms of such CLO Security) of any class of securities which is senior to or pari 

passu with such CLO Security on the same transaction is less than 100 per cent. 

Notwithstanding the foregoing definition, the Collateral Manager may declare any Collateral Debt Security 

to be a Defaulted Security if, in the Collateral Manager’s reasonable business judgement, the credit quality 

of the Obligor of such Collateral Debt Security (or, in the case of a Synthetic Security, the credit quality of 

the Reference Obligor of the Reference Obligation with respect thereto) has significantly deteriorated such 

that the Collateral Manager has a reasonable expectation of payment default as of the next scheduled 

payment date with respect to such Collateral Debt Security. 

“Definitive Note” means any of the Class A1A Definitive Notes, Class A1B Definitive Notes, Class A2 

Definitive Notes, Class B Definitive Notes, Class C Definitive Notes, Class D Definitive Notes, Class E 

Definitive Notes and Class N Definitive Notes. 

“Deferred Interest Amounts” means any or all of the Class B Deferred Interest, the Class C Deferred 

Interest, the Class D Deferred Interest and the Class E Deferred Interest. 

“Determination Date” means the last Business Day of each Due Period. 

“Discount Collateral Debt Security” means any Collateral Debt Security (other than a Synthetic Security) 

or any Synthetic Security the Reference Obligation under which had, at the time of acquisition, a purchase 

price of less than 80 per cent. of the principal amount for a loan and less than 75 per cent. of the principal 

amount for a bond; provided that such Collateral Debt Security or Synthetic Security (as the case may be) 

shall cease to be a Discount Collateral Debt Security where the Market Value (determined on a monthly 

basis) thereof for any period of 30 consecutive Business Days equals or exceeds 90 per cent. for a loan and 

85 per cent. for a bond of the principal amount of such Collateral Debt Security, and provided further that: 

(i) 

if any Collateral Debt Security falls within the definition of both a “Discount Collateral Debt 

Security” and a “CCC Security”, such Collateral Debt Security shall be classified as a CCC 

Security; 

67

(ii) 

if any Collateral Debt Security falls within the definition of both a “Discount Collateral Debt 

Security” and a “Current Pay Obligation”, such Collateral Debt Security shall be classified 

as a Current Pay Obligation unless the Collateral Manager in its reasonable business 

judgement (which shall not be called into question as a result of subsequent events) 

determines otherwise. 

“Distribution” means any payment of principal or interest or any dividend or premium or other amount or 

asset paid or delivered on or in respect of any Collateral Debt Security, any Eligible Investment, any 

Collateral Enhancement Security or any Defaulted Equity Security. 

“Drawing” means the principal amount of each advance made, from time to time, by the Class A1A 

Noteholders pursuant to the Class A1A Note Purchase Agreement to the Issuer which amount will not be 

less than the relevant Minimum Denomination or (as the context requires) the principal amount thereof for 

the time being outstanding. 

“Due Date” means each date on which a Distribution is due and payable. 

“Due Period” means, with respect to any Payment Date, the period commencing on the day immediately 

following the eighth Business Day prior to the preceding Payment Date (or on the Issue Date in the case of 

the Due Period relating to the first Payment Date) and ending on the eighth Business Day prior to such 

Payment Date (or, in the case of the Due Period applicable to the Maturity Date or a Redemption Date, 

ending on the day preceding such Payment Date). 

“Dutch Ineligible Securities” means any and all: 

(a) securities or interests in securities which are bearer instruments (effecten aan toonder) physically 

located in The Netherlands or registered shares (aandelen op naam) in a Netherlands corporate entity 

where the Issuer owns such bearer instruments or registered shares directly and in its own name; or 

(b) securities or interests in securities the purchase or acquisition of which by or on behalf of the Issuer 

would cause the breach of applicable selling or transfer restrictions or of applicable Dutch laws relating 

to the offering of securities or of collective investment schemes; or 

(c) obligations or instruments which are convertible into or exchangeable for the securities referred to in 

(a) above. 

“Eastern Europe” means countries in Europe other than Austria, Belgium, Denmark, Finland, France, 

Germany, Republic of Ireland, Italy, Luxembourg, Liechtenstein, The Netherlands, Norway, Portugal, 

Spain, Sweden, Switzerland, the United Kingdom (including the Channel Islands and the Isle of Man) and 

any other EU Member State rated “A-” or above by Fitch and “AA” or above by S&P as at the Issue Date 

and otherwise subject to Rating Agency Confirmation. 

“Eligibility Criteria” has the meaning given thereto in the Collateral Management Agreement. 

“Eligible Floating Rate Note” means a Senior Secured Loan documented in note form and for which 

Rating Agency Confirmation has been given to the Collateral Manager that such Senior Secured Loan may 

be treated as a Senior Secured Loan. 

“Eligible Investments” means: 

(a) government securities of any government which is rated “AAA” and “AAA” or “F1+” and “A-1+” by 

Fitch and S&P respectively; and 

(b) demand or time deposits, certificates of deposit and short term debt obligations (including commercial 

paper); 

provided that in all cases such investments (x) are not Dutch Ineligible Securities and (y) have a maturity 

date of no later than the last Business Day of the Due Period following the date of acquisition of such 

investment and the short term unsecured, unguaranteed and unsubordinated debt obligations of the issuing 

or guaranteeing entity or the entity with which the demand or time deposits are made (being a licensed EU 

68

credit institution) are rated “F1+” and “A-1+” by Fitch and S&P respectively or are otherwise acceptable to 

the Rating Agencies and, in either case, denominated in the same currency as the cash which is used to 

purchase the relevant Eligible Investment and (z) are investments (A) that are treated as indebtedness for 

U.S. federal income tax purposes and are not United States real property interests as defined under Section 

897 of the Code, or the Issuer has received advice or an opinion of a nationally recognised U.S. tax counsel 

experienced in such matters to the effect that the ownership, enforcement or disposition of which will not 

cause the Issuer to be treated as engaged in a trade or business within the United States for U.S. federal 

income tax purposes, or otherwise subject the Issuer to U.S. federal income tax on a net income tax basis, 

(B) that are acquired, and held in a manner that does not violate the investment restrictions set forth in the 

Collateral Management Agreement, (C) that shall not be subject to deduction or withholding for or on 

account of any withholding or similar tax unless the payor is required to make “gross up” payments that 

ensure that the net amount actually received by the Issuer (free and clear of taxes, whether assessed against 

such obligor or the Issuer) will equal the full amount that the Issuer would have received had no such 

deduction or withholding been required, and (D) the payment of interest on such Eligible Investment will 

not be subject to any deduction or withholding for or on account of United Kingdom tax. 

“Emerging Market Issuer” means (i) a sovereign or non-sovereign issuer located in a country that is in 

Latin America, Asia, Africa, Eastern Europe or the Caribbean, other than an issuer located in Japan or 

Singapore, or an issuer of a CLO Security that is a special purpose vehicle organised under the laws of the 

Cayman Islands, Jersey, Guernsey, Bermuda or The Netherlands Antilles; or (ii) a sovereign or nonsovereign 

issuer located in a country that is rated below “A-” by Fitch and below “AA” by S&P (other than 

Greece, Italy or any other country consented to by the Rating Agencies). 

“Enforcement Notice” has the meaning ascribed thereto in Condition 11(c) (Acceleration). 

“Equity Kicker” means any equity security or any other security that is not eligible for purchase by the 

Issuer but is received with respect to a Collateral Debt Security or purchased as part of a “unit” with a 


“Equity Security” means any (a) Equity Kicker, (b) Defaulted Equity Security and (c) other equity security 

that does not entitle the holder thereof to receive periodic payments of interest and one or more instalments 

of principal, including those received by the Issuer as a result of the exercise or conversion of an Equity 

Kicker or other convertible or exchangeable Collateral Debt Security, provided that it is not a Dutch 

Ineligible Security. 

“ERISA” means the U.S. Employee Retirement Income Security Act of 1974, as amended. 

“EURIBOR” means the Euro zone Interbank Offered Rate. 

“Euroclear Pledged Account” means the pledged account held by the Custodian in Euroclear in which the 

securities which are the subject of a commercial pledge pursuant to the Euroclear Pledge Agreement are 

held. 

“Euro Collateral Debt Security” means a Collateral Debt Security denominated in Euro and, for the 

purposes of the Eligibility Criteria, the Reinvestment Criteria, the Additional Reinvestment Criteria, the 

Coverage Tests, the Reinvestment OC Test and the Collateral Quality Tests, if not specified otherwise, 

“Euro Collateral Debt Security” shall include a reference to any Non-Euro Collateral Debt Security. 

“Euro Drawings” has the meaning ascribed thereto in the Class A1A Note Purchase Agreement. 

“Euro Expense Account” means the Euro account so named of the Issuer held with the Account Bank, 

amounts standing to the credit of which may be used to fund certain expenses arising between Payment 

Dates. 

“Euro Interest Proceeds” means with respect to any Due Period (without duplication) the sum of: 

(a) all payments of interest received in cash by the Issuer during the related Due Period on the Euro 

Collateral Debt Securities and Euro denominated Eligible Investments purchased by the Issuer (other 

than interest accrued on Euro Collateral Debt Securities purchased by the Issuer to the date of 

69

acquisition thereof by the Issuer and purchased with Euro Principal Proceeds, Uninvested Proceeds or 

with amounts drawn under the Class A1A Notes); 

(b) all accrued interest received in cash by the Issuer during the related Due Period with respect to Euro 

Collateral Debt Securities realised by the Issuer (other than (i) interest accrued on Euro Collateral Debt 

Securities to the date of acquisition thereof by the Issuer and purchased with Euro Principal Proceeds, 

Uninvested Proceeds or with amounts drawn under the Class A1A Notes and any Relevant Amount 

denominated in Euro in respect of such realisation and (ii) interest accrued on a PIK Security 

denominated in Euro to the date of acquisition thereof by the Issuer and purchased with Euro Principal 

Proceeds, Uninvested Proceeds or with amounts drawn under the Class A1A Notes); 

(c) (i) all payments of principal in Euro received in cash by the Issuer during the related Due Period on 

Eligible Investments to the extent such Eligible Investments were acquired with Euro Interest Proceeds; 

and (ii) all amounts representing the element of deferred interest in any payment received in respect of 

any Mezzanine Loan or Second Lien Loan denominated in Euro which is not a Defaulted Security and 

which by its contractual terms provides for the deferral of interest; 

(d) (i) all amounts in Euro, if any, paid to the Issuer by any Hedge Counterparty (other than any Hedge 

Termination Receipts) under any Hedge Transaction (other than under an Asset Swap Transaction) in 

such Due Period and all amounts payable to the Issuer by any Hedge Counterparty (other than any 

Hedge Termination Receipts) under any Hedge Transaction (other than under an Asset Swap 

Transaction) on the Payment Date immediately following such Due Period and (ii) all amounts in Euro, 

if any, paid to the Issuer by any Hedge Counterparty (other than any Hedge Termination Receipts) 

under any Asset Swap Transaction in such Due Period which corresponds to amounts described in this 

definition of “Euro Interest Proceeds” received from any Non-Euro Collateral Debt Securities the 

subject of such Asset Swap Transaction and all amounts payable to the Issuer by any Hedge 

Counterparty (other than Hedge Termination Receipts) under any Asset Swap Transaction on the 

Payment Date immediately following such Due Period which corresponds to amounts described in this 

definition of “Euro Interest Proceeds” received from any Non-Euro Collateral Debt Securities the 

subject of such Asset Swap Transaction; 

(e) all amounts in Euro of all amendment and waiver fees, all late payment fees, syndication fees and all 

other fees and commissions received in cash by the Issuer during the related Due Period in connection 

with the Euro Collateral Debt Securities purchased by the Issuer and Eligible Investments denominated 

in Euro; 

(f) 

the amount standing to the credit of the Euro Expense Account on the last Business Day of the Due 

Period ending immediately prior to the Redemption Date or Maturity Date; 

(g) all amounts, if any, paid to the Issuer in Euro by any Securities Lending Counterparty under any 

Securities Lending Agreement in such Due Period, including any scheduled interest payments on 

Securities Lending Collateral after the occurrence of an event of default under the related Securities 

Lending Agreement; and 

(h) any other amount in Euros whether in the nature of profits, Trading Gains or otherwise which is 

designated as Euro Interest Proceeds by the Collateral Manager; provided that the Collateral Manager 

may not designate Trading Gains as Euro Interest Proceeds unless the sum of (i) the aggregate Principal 

Balance of all Collateral Debt Securities and (ii) the aggregate principal balance standing to the credit 

of the Principal Collection Account, the Initial Proceeds Account, the Additional Collateral Account 

and the Euro Principal Reserve Account, is equal to or greater than the Target Par Amount, in each case 

both immediately prior to and after giving effect to the reinvestment of the applicable proceeds that 

gave rise to such Trading Gains; 

but excluding (i) all Sterling Interest Proceeds and (ii) any amounts recovered and any Distributions 

received in cash by the Issuer in respect of any Defaulted Securities denominated in Euro following such 

Euro Collateral Debt Security becoming a Defaulted Security other than where the aggregate amount of 

such recoveries or, as the case may be, such Distributions received in respect of such Defaulted Security 

exceeds the principal balance of the Euro Collateral Debt Security immediately prior to the time it became a 

Defaulted Security; and (iii) in respect of any scheduled interest payments described in paragraph (g) above 

in respect of a loaned Collateral Debt Security as to which an event of default under the related Securities 

70

Lending Agreement has occurred and is continuing; provided that in no event shall Euro Interest Proceeds 

include the €20,000 of capital contributed to the Issuer by the owners of the Issuer’s ordinary shares in 

accordance with the Issuer’s Articles of Incorporation. Any determination of the aggregate amount of Euro 

Interest Proceeds with respect to any day during a Due Period will include all Euro Interest Proceeds 

received by the Issuer from and including the first day of the related Due Period to and including such date 

of determination and amounts of Euro Interest Proceeds in respect of a Due Period shall be determined so 

that amounts already included or included in respect of a prior Due Period are not included more than once. 

“Euro Liquidity Payment Account” means the interest bearing account denominated in Euro so named of 

the Issuer held with the Account Bank established as required pursuant to the terms of the Liquidity Facility 

Agreement. 

“Euro Payment Account” means the account so named of the Issuer held with the Account Bank (a) into 

which amounts denominated in Euro shall be transferred by the Collateral Administrator on the Business 

Day prior to each Payment Date out of (to the extent applicable) the other relevant Accounts; and (b) out of 

which the amounts denominated in Euro is required to be paid on each Payment Date, each as provided 

pursuant to the Priorities of Payment, shall be paid. 

“Euro Principal Proceeds” means, with respect to any Due Period, the sum (without duplication) of: 

(a) all payments of principal (including prepayments) received in cash by the Issuer during the related Due 

Period on the Euro Collateral Debt Securities purchased by the Issuer and any Euro denominated 

Eligible Investments (other than (i) Uninvested Proceeds (ii) the amounts referred to in paragraph (c) of 

the definition of Euro Interest Proceeds and (iii) Trading Gains designated as Euro Interest Proceeds by 

the Collateral Manager); 

(b) all payments of interest received in cash by the Issuer during the related Due Period on the Euro 

Collateral Debt Securities purchased by the Issuer and any Euro denominated Eligible Investments to 

the extent such payments constitute proceeds from accrued interest purchased with Euro Principal 

Proceeds, Uninvested Proceeds or with amounts drawn under the Class A1A Notes; 

(c) with respect to the Due Period during which the last day of the Reinvestment Period occurs, any 

Uninvested Proceeds on deposit in the Principal Collection Account or invested in Euro denominated 

Eligible Investments on the last day of the Reinvestment Period; 

(d) all disposal proceeds received by the Issuer during the related Due Period in respect of Euro Collateral 

Debt Securities purchased by the Issuer, including without limitation amounts received in respect of 

original issue or market discount, but excluding accrued interest constituting “Euro Interest 

Proceeds” under paragraphs (a) or (b) of the definition of “Euro Interest Proceeds” and excluding 

fees and commissions of the type referred to in paragraph (e) below; 

(e) all facility or other up front fees or other similar fees payable to the Issuer in relation to a Euro 

Collateral Debt Security (save for those set out in paragraph (k) below and under paragraph (e) of the 

definition of “Euro Interest Proceeds”); 

(f) 

all call, redemption and prepayment premiums received in cash by the Issuer during such Due Period 

on the Euro Collateral Debt Securities purchased by the Issuer and any Euro denominated Eligible 

Investments; 

(g) Uninvested Proceeds outstanding on the last Business Day of the Due Period, ending immediately prior 

to the Payment Date falling after the Target Date if a Target Date Rating Downgrade has occurred and 

is continuing; 

(h) all interest accrued received in cash realised by the Issuer on any Euro Collateral Debt Security to the 

date of acquisition thereof by the Issuer and purchased with Euro Principal Proceeds, Uninvested 

Proceeds or with amounts drawn under the Class A1A Notes; 

(i) 

any other amounts received in Euro (including, without limitation, recovery receipts) by the Issuer 

during the relevant Due Period which are not included in the definition of “Euro Interest Proceeds” 

and, in the case of the issue of any Class A1B Refinancing Notes or Further Issue Notes issued on or 

71

prior to the Payment Date immediately following such relevant Due Period, the net proceeds of issue 

thereof; 

(j) 

any scheduled principal payments denominated in Euro in respect of Securities Lending Collateral after 

the occurrence of an event of default under the related Securities Lending Agreement, but excluding 

any scheduled principal payments in respect of a loaned Euro Collateral Debt Security as to which an 

event of default under the related Securities Lending Agreement has occurred and is continuing; 

(k) all fees or commissions, or other compensation received in cash, in connection with a workout or 

restructuring of any Euro denominated Defaulted Security; 

(l) 

any other amounts (including any proceeds from the termination of any Hedge Agreement net of the 

costs of entering into a Replacement Hedge Agreement) received by the Issuer in Euro during the 

related Due Period which are not included in the definition of “Euro Interest Proceeds” including for 

the avoidance of doubt, all amounts payable to the Issuer by any Hedge Counterparty under any Asset 

Swap Transaction during the related Due Period which corresponds to amounts described in this 

definition of “Euro Principal Proceeds” received from any Non-Euro Collateral Debt Securities the 

subject of such Asset Swap Transaction; and 

(m) the amount standing to the credit of all Accounts other than the Euro Expense Account and the Sterling 

Accounts on the last Business Day of the Due Period ending immediately prior to the Redemption Date 

or Maturity Date; 

provided that (i) in no event shall Euro Principal Proceeds include Sterling Principal Proceeds, (ii) in no 

event shall Euro Principal Proceeds include any amounts standing to the credit of the Issuer Dutch Account, 

(iii) prior to enforcement of the security over the Collateral in accordance with Condition 11 (Enforcement), 

in no event shall Euro Principal Proceeds include any Sale Proceeds denominated in Euro in respect of any 

Collateral Enhancement Security which shall instead be credited to the Collateral Enhancement Account 

and (iv) all Distributions received in cash by the Issuer in respect of any Defaulted Security denominated in 

Euro following such Euro Collateral Debt Security becoming a Defaulted Security shall be deemed to be 

payments of principal except to the extent that the aggregate amount of such Distributions received in cash 

in respect of such Defaulted Security exceeds the principal balance of the Euro Collateral Debt Security 

immediately prior to the time it became a Defaulted Security so long as it continues to be a Defaulted 

Security after the receipt of such Distributions, and (v) all Distributions received in Euro in cash by the 

Issuer in respect of an obligation pursuant to which future payments may be required to be made to a 

counterparty shall instead be credited to the Additional Collateral Account. Any determination of the 

aggregate amount of Euro Principal Proceeds with respect to any day during a Due Period will include all 

Euro Principal Proceeds received by the Issuer from and including the first day of the related Due Period to 

and including such date of determination and the amount of Euro Principal Proceeds in respect of a Due 

Period shall be determined so that amounts already included or included in respect of a prior Due Period are 

not included more than once. 

“Euro Principal Reserve Account” means the Euro account so named of the Issuer held with the Account 

Bank, in which amounts of Euro Principal Proceeds or Euro Interest Proceeds may from time to time be 

deposited and disbursed in accordance with the Priorities of Payment. 

“Euro Unscheduled Principal Proceeds” means, with respect to any Euro Collateral Debt Security 

purchased by the Issuer, Euro principal repayments prior to the Stated Maturity thereof received as a result 

of optional redemptions, prepayments above scheduled amortisations or Offers and Distributions 

denominated in Euro and amounts received upon the liquidation of any Synthetic Security Collateral in the 

event that the Synthetic Security or the Synthetic Security Obligor’s security interest was subject to an early 

termination other than by the Issuer or the Collateral Manager on its behalf (including for the avoidance of 

doubt, with respect to any Non-Euro Collateral Debt Securities, any amounts which would have been 

attributable to Euro Unscheduled Proceeds (if denominated in Euro) and received in Euro pursuant to an 

Asset Swap Transaction). 

“Euro zone” has the meaning given thereto in Condition 6 (Interest). 

“Event of Default Net Portfolio Collateral Balance” means, on any Measurement Date, an amount equal 

to the sum of: 

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(a) the aggregate principal balance of the Collateral Debt Securities; 

(b) the aggregate principal balance standing to the credit of the Principal Collection Account, the Initial 

Proceeds Account, the Additional Collateral Account and the Euro Principal Reserve Account; 

(c) the aggregate principal balance standing to the credit of the Sterling Principal Account and the Sterling 

Additional Collateral Account converted into Euro at the Spot Rate; and 

(d) the aggregate of the principal balance of all Eligible Investments purchased by the Issuer with the 

Principal Proceeds or Uninvested Proceeds. 

“Exchange Act” means the United States Securities Exchange Act of 1934, as amended. 

“Extraordinary Resolution” means, in relation to any Class of Noteholders, a resolution passed at a 

meeting of such Class of Noteholders duly convened and held in accordance with the Trust Deed by a 

majority of the votes cast. 

“Fitch” means Fitch Ratings Ltd. and its subsidiaries including Derivative Fitch, Inc. and Derivative Fitch 

Ltd. and a successor or successors thereto. 

“Fitch Rating” has the meaning given to it in the Collateral Administration Agreement. 

“Form-Approved Hedge” means any Asset Swap Transaction or any other Hedge Transaction in the form 

of a Hedge Agreement, the subject of a previous Rating Agency Confirmation save for: 

(a) the amount and timing of initial and/or periodic payments, the notional amount, the effective date 

and/or the termination date; 

(b) the identity of the Hedge Counterparty; and 

(c) other inconsequential and immaterial changes which have been previously notified to the Rating 

Agencies in writing, 

and “Form-Approved Hedges” means any of them. 

“Further Issue Notes” has the meaning ascribed thereto in Condition 17 (Further Issues). 

“GBP-LIBOR-BBA” means the rate which appears on display page 3750 on Telerate Rate Monitor (or 

such other page as may replace that page on that service), or such other service as may be nominated as the 

information vendor, for the purposes of displaying rates for deposits in Sterling. 

“Global Note” means any of the Class A1B Global Notes, the Class A2 Global Notes, the Class B Global 

Notes, the Class C Global Notes, the Class D Global Notes, the Class E Global Notes and the Class N 

Global Notes. 

“Hedge Agreement” means each 1992 ISDA Master Agreement (Multicurrency Cross Border), together 

with the schedules, confirmations and any annexes relating thereto, entered into between the Issuer and a 

Hedge Counterparty from time to time evidencing one or more Hedge Transactions, the subject of a Rating 

Agency Confirmation or where Rating Agency Confirmation is not obtained, is a Form-Approved Hedge, 

as amended, supplemented or replaced from time to time and including any guarantee thereof and any credit 

support document entered into pursuant to the terms thereof and including any Replacement Hedge 

Agreement entered into in replacement thereof, and “Hedge Agreements” means, as the context may 

require, any or all of them and, for the avoidance of doubt, includes the Initial Hedge Agreement and any 

guarantee or credit support annexes provided pursuant to the Initial Hedge Agreement. 

“Hedge Counterparty” means each financial institution which meets with the Rating Requirement and 

which has, as a matter of Dutch law, the regulatory capacity to enter into derivatives transactions with 

Dutch residents with which the Issuer enters into a Hedge Agreement the subject of a Rating Agency 

Confirmation or where Rating Agency Confirmation is not obtained, is a Form-Approved Hedge or, upon 

any termination of any Hedge Agreement with such counterparty and replacement thereof by the Collateral 

73

Manager acting on behalf of the Issuer in accordance with the provisions of the Collateral Management 

Agreement, any financial institution which meets with the Rating Requirement or if it does not meet with 

the Rating Requirement, is the subject of Rating Agency Confirmation or, in each case, any permitted 

assignee or successor approved under any Hedge Agreement and “Hedge Counterparty” means, as the 

context may require, any or all of them and for the avoidance of doubt, includes the Initial Hedge 

Counterparty. 

“Hedge Payment Amount” means, with respect to any date of determination, (i) any scheduled amounts 

then payable by the Issuer to a Hedge Counterparty under any Hedge Agreement from time to time, and (ii) 

any amount payable by the Issuer to a Hedge Counterparty upon termination of any Hedge Agreement in 

whole other than any Subordinated Hedge Termination Payment. 

“Hedge Replacement Receipt” means any amount payable to the Issuer by a Hedge Counterparty upon 

entry into a Replacement Hedge Agreement which replaces a Hedge Agreement which was terminated 

following the occurrence of an “Event of Default” or “Termination Event” (each as defined in the 

relevant Hedge Agreement) under which the Hedge Counterparty was the sole “Defaulting Party” or an 

“Affected Party” (each such term as defined in such Hedge Agreement). 

“Hedge Termination Receipt” means any amount payable by a Hedge Counterparty to the Issuer upon 

termination of a Hedge Agreement in whole following the occurrence of an “Event of Default” (as defined 

in such Hedge Agreement) or “Termination Event” (as defined in such Hedge Agreement) thereunder 

under which the Hedge Counterparty was the “Defaulting Party” or the “Affected Party” (each such term 

as defined in such Hedge Agreement). 

“Hedge Transaction” means a transaction (including any Asset Swap Transaction and the Initial Hedge 

Transaction) entered into under a Hedge Agreement. 

“Incentive Collateral Management Fee” means (i) the fee payable to the Collateral Manager pursuant to 

the Collateral Management Agreement calculated in accordance with Condition 3(c)(i)(JJ) (Priorities of 

Payment—Application of Interest Proceeds on Payment Dates) and Condition 3(c)(iii)(AA) (Priorities of 

Payment—Application of Principal Proceeds on Payment Dates) and (ii) any value added tax in respect 

thereof (whether payable to the Collateral Manager or directly to the relevant taxing authority). 

“Incentive Management Fee Hurdle Rate” means an Internal Rate of Return with respect to the Class N 

Notes of 12 per cent. 

“Initial Hedge Agreement” means the Hedge Agreement documenting the Initial Hedge Transactions 

entered into between the Issuer and the Initial Hedge Counterparty on the Issue Date. 

“Initial Hedge Transactions” means the Sterling call options entered into between the Issuer and the 

Initial Hedge Counterparty on the Issue Date. 

“Initial Proceeds Account” means Euro account so named of the Issuer held with the Account Bank into 

which the net proceeds of issue of the Notes shall be paid on the Issue Date. 

“Initial Purchaser” means Dresdner Bank AG London Branch. 

“Initial Reinvestment OC Ratio” means, as at any Measurement Date, 108.1 per cent. 

“Interest Accrual Period” means each successive period from and including one Payment Date (or, in the 

case of the first Interest Accrual Period, the Issue Date) and ending on but excluding the next succeeding 

Payment Date (or, in the case of the last Interest Accrual Period, ending on the Redemption Date or the 

Maturity Date). 

“Interest Amount” means in respect of a Class of Notes, on each Payment Date, the amount of interest 

payable in respect of the principal amount of the Notes of such Class and, where applicable, interest 

payable in respect of the Class A1A Notes for any Interest Accrual Period being: 

(a) in the case of the Senior Notes, (i) in the case of the Class A1A Notes, the Class A1A Aggregate 

Interest Amount, and (ii) in the case of the Class A1B Notes and the Class A2 Notes, the amount 

74

calculated by the Collateral Administrator on the relevant Determination Date in accordance with 

Condition 6(e)(ii) (Determination of Floating Rate of Interest and Calculation of Interest Amount); 

(b) in the case of the Class B Notes, Class C Notes, Class D Notes and Class E Notes, the amount 

calculated by the Collateral Administrator on the relevant Determination Date in accordance with 

Condition 6(e)(ii) (Determination of Floating Rate of Interest and Calculation of Interest Amount); and 

(c) in the case of the Class N Notes the amount calculated as provided in Condition 6(f) (Interest on the 

Class N Notes). 

“Interest Collection Account” means the Euro account so named of the Issuer held with the Account Bank 

into which Euro Interest Proceeds are to be paid. 

“Interest Coverage Amount” means, on any particular Measurement Date, the sum of: 

(a) the amount standing to the credit of the Interest Collection Account and the Sterling Interest Collection 

Account (without double counting with items in paragraphs (b) and (c) below); 

plus 

(b) the scheduled interest payments due (in each case regardless of whether the applicable Due Date has 

yet occurred) (determined assuming that EURIBOR (or such other rate basis applicable to the relevant 

Collateral Debt Security, Participation, Account or Eligible Investment denominated in Euro) remains 

constant throughout such period) in the Due Period in which such Measurement Date occurs on: 

(i) 

(ii) 

(iii) 

(iv) 

the Euro Collateral Debt Securities and any Euro denominated Participations excluding (A) 

accrued and unpaid interest on Euro denominated Non-Performing Securities and (B) interest 

on any Euro Collateral Debt Security or Euro denominated Participation to the extent that such 

Euro Collateral Debt Security or Euro denominated Participation does not provide for the 

scheduled payment of interest in cash, and (C) any amounts in Euro expected to be withheld at 

source or otherwise deducted in respect of taxes; 

the Accounts (other than the Sterling Accounts); 

Eligible Investments denominated in Euro; and 

Euro denominated Securities Lending Collateral after the occurrence of an event of default 

under the related Securities Lending Agreement; 

but excluding: 

(A) 

(B) 

(C) 

(D) 

(E) 

any scheduled interest payments described in paragraphs (i), (ii) or (iii) above as to 

which the Issuer or the Collateral Manager has actual knowledge that such payment 

will not be made; 

any scheduled interest payments described in paragraph (iv) above in respect of a 

loaned Euro Collateral Debt Security as to which an event of default under the related 

Securities Lending Agreement has occurred and is continuing; 

accrued and unpaid interest on Defaulted Securities denominated in Euro; 

interest accrued on any Euro Collateral Debt Securities or Euro denominated 

Participations to the date of acquisition thereof by the Issuer and purchased with Euro 

Principal Proceeds, Uninvested Proceeds or with amounts drawn under the Class 

A1A Note Purchase Agreement including for the avoidance of doubt, the amounts 

referred to in paragraphs (b) and (h) of the definition of Euro Principal Proceeds; and 

in the case of PIK Securities denominated in Euro, the amount of any payments that 

the Issuer or the Collateral Manager has actual knowledge will not be made in cash, 

75

including for the avoidance of doubt, any interest in respect of a PIK Security which 

pursuant to its terms has been deferred and/or capitalised; 

plus 

(c) the scheduled interest payments due (in each case regardless of whether the applicable Due Date has 

yet occurred) (determined assuming that LIBOR (or such other rate basis applicable to the relevant 

Collateral Debt Security, Participation, Account or Eligible Investment denominated in Sterling) 

remains constant throughout such period) and as required, converted into Euro at the Spot Rate in the 

Due Period in which such Measurement Date occurs on: 

(i) 

(ii) 

(iii) 

(iv) 

the Sterling Collateral Debt Securities and any Sterling denominated Participations excluding 

(A) accrued and unpaid interest on Sterling denominated Non-Performing Securities and (B) 

interest on any Sterling Collateral Debt Security or Sterling denominated Participation to the 

extent that such Sterling Collateral Debt Security or Sterling denominated Participation does 

not provide for the scheduled payment of interest in cash, and (C) any amounts in Sterling 

expected to be withheld at source or otherwise deducted in respect of taxes; 

the Sterling Accounts; 

Eligible Investments denominated in Sterling; and 

Sterling denominated Securities Lending Collateral after the occurrence of an event of default 

under the related Securities Lending Agreement; 

but excluding: 

(A) 

(B) 

(C) 

(D) 

(E) 

any scheduled interest payments described in paragraphs (i), (ii) or (iii) above as to 

which the Issuer or the Collateral Manager has actual knowledge that such payment 

will not be made; 

any scheduled interest payments described in paragraph (iv) above in respect of a 

loaned Sterling Collateral Debt Security as to which an event of default under the 

related Securities Lending Agreement has occurred and is continuing; 

accrued and unpaid interest on Defaulted Securities denominated in Sterling; 

interest accrued on any Sterling Collateral Debt Securities or Sterling denominated 

Participations to the date of acquisition thereof by the Issuer and purchased with 

Sterling Principal Proceeds or with amounts drawn under the Class A1A Note 

Purchase Agreement including for the avoidance of doubt, the amounts referred to in 

paragraphs (b) and (h) of the definition of Sterling Principal Proceeds; and 

in the case of PIK Securities denominated in Sterling, the amount of any payments 

that the Issuer or the Collateral Manager has actual knowledge will not be made in 

cash, including for the avoidance of doubt, any interest in respect of a PIK Security 

which pursuant to its terms has been deferred and/or capitalised; 

minus 

(d) the amounts payable pursuant to Condition 3(c)(i)(A) to (E) (inclusive) on the following Payment Date; 

(e) the amounts scheduled to be paid by the Issuer to a Hedge Counterparty under the Hedge Transactions 

(other than pursuant to an Asset Swap Transaction) on or before the following Payment Date (other 

than any Hedge Termination Payment), if any; 

(f) 

the amounts scheduled to be paid by the Issuer to a Hedge Counterparty under any Asset Swap 

Transactions on or before the following Payment Date (other than any Hedge Termination Payment) 

which corresponds to those amounts described in paragraph (b) of this definition received by the Issuer 

pursuant to a Non-Euro Collateral Debt Security; and 

76

(g) (until such time as (1) the Issuer has submitted any forms to ensure that it receives interest on a 

Collateral Debt Security free of withholding tax and has received confirmation from the relevant tax 

authority that interest may be paid to it free of withholding tax or (2) the Issuer reasonably believes that 

no such tax is payable), the amount which would be withheld in respect of such interest prior to the 

receipt of such confirmation; 

plus 

(h) the amounts received by the Issuer from a Hedge Counterparty pursuant to any Hedge Transaction 

(other than an Asset Swap Transaction) in respect of the relevant Due Period (other than any Hedge 

Termination Receipt and amounts received from the Initial Hedge Counterparty pursuant to the Initial 

Hedge Agreement), if any; and 

(i) 

the amounts received by the Issuer from a Hedge Counterparty pursuant to an Asset Swap Transaction 

which corresponds to those amounts described in paragraph (f) of this definition with respect to a Non- 

Euro Collateral Debt Security (and which excludes for the avoidance of doubt, any Hedge Termination 

Receipt). 

“Interest Determination Date” has the meaning given to it in Condition 6(e)(i) (Rate of Interest). 

“Interest Proceeds” means the Euro Interest Proceeds and the Sterling Interest Proceeds. 

“Internal Rate of Return” has the meaning given to it in Condition 3 (Status). 

“Investec” means Investec Principal Finance, a business unit division of Investec Bank (UK) Ltd. 

“Issue Date” means 5 July 2007. 

“Issue Date Spot Rate” means the following exchange rate for exchanging respectively, Sterling for Euro, 

and Euro for Sterling: Euro 1.0 = Sterling 0.6748, rounded to four decimal places. 

“Issuer” means Gresham Capital CLO IV B.V. 

“Issuer Dutch Account” means the account in the name of the Issuer with Fortis Bank Nederland N.V. 

“Issuer Event of Default” means each of the events defined as such in Condition 10(a) (Events of Default). 

“LIBOR” means the London Interbank Offered Rate. 

“Liquidity Drawing” means a loan made or to be made under the Liquidity Facility or deemed to be made 

under the Liquidity Facility Agreement in a minimum amount of €50,000 (or the Sterling equivalent thereof 

at the Issue Date Spot Rate). 

“Liquidity Facility” means the liquidity facility granted by the Liquidity Facility Provider to the Issuer 

pursuant to the Liquidity Facility Agreement. 

“Liquidity Limit” means the maximum amount allowed to be drawn by the Issuer on a Payment Date 

pursuant to the terms of the Liquidity Facility Agreement. 

“Liquidity Payment” means all amounts due and payable by the Issuer to the Liquidity Facility Provider 

under the Liquidity Facility Agreement. 

“Liquidity Payment Account” means each of the Euro Liquidity Payment Account and the Sterling 

Liquidity Payment Account and “Liquidity Payment Accounts” means both of them. 

“Long Dated Securities” means any Collateral Debt Security with a maturity later than the Maturity Date; 

provided that, if a Collateral Debt Security has Distributions that would constitute Principal Proceeds that 

are scheduled to occur both before and after the Maturity Date, such Collateral Debt Security shall, for the 

purpose of determining the Net Portfolio Collateral Balance, be treated as two securities consisting of a 

security in respect of which Principal Proceeds and other amounts are scheduled to be paid on or before the 

77

Maturity Date and a security in respect of which Principal Proceeds and other amounts are scheduled to be 

paid after the Maturity Date and only such Distributions that are scheduled to occur on such Collateral Debt 

Security after the Maturity Date will constitute a Long Dated Security. 

“Managing Directors” means Shareen Leijdesdorff-Perret Gentil, Geert Kruizinga and Henry Samuel 

Leijdesdorff or such other person(s) who may be appointed as Managing Director(s) of the Issuer from time 

to time. 

“Market Value” means, in respect of any Collateral Debt Security or Eligible Investment on any date of 

determination, (a) the average of three bid side market prices obtained from MARKIT or (b) if three bid 

side market prices cannot be obtained from MARKIT, the average of the bid side market prices offered to 

the Collateral Manager by three internationally recognised independent brokers or, (c) if three prices cannot 

be obtained from MARKIT or three internationally recognised independent brokers then the lower of the 

bid side market price offered to the Collateral Manager by two internationally recognised independent 

brokers or if two prices cannot be obtained, then the one bid side market price offered to the Collateral 

Manager by one internationally recognised independent broker, or (d) if no such price is offered, in the case 

of any Collateral Debt Security or Eligible Investment (other than a CCC Security), the fair market value of 

such Collateral Debt Security or Eligible Investment (as the case may be) determined by the Collateral 

Manager on a reasonable efforts basis in a manner consistent with reasonable and customary market 

practice (and the Collateral Manager shall incur no liability for such determination) and, in the case of a 

CCC Security, the higher of (i) 70 per cent. and (ii) the recovery rate assigned by S&P in respect of such 

CCC Security relating to the most senior Class of Notes Outstanding, unless the Collateral Manager 

determines in its reasonable commercial judgment that such CCC Security should be assigned a lower value 

in which case such lower value shall be so assigned. 

“MARKIT” means the independent, multi-asset class pricing service provided by Markit Group Limited or 

any replacement to such service as agreed between the Issuer and the Collateral Manager subject to receipt 

of Rating Agency Confirmation in respect thereof. 

“Matrix” has the meaning given to such term in the Collateral Administration Agreement. 

“Maturity Date” means, in respect of each Class of Notes, 18 July 2023, or in the event that such day is not 

a Business Day, the next following Business Day. 

“Maximum Investment Amount” means the lower of (a) the Target Par Amount and (b) the aggregate of 

the Principal Balances of the Collateral Debt Securities and Eligible Investments acquired with Principal 

Proceeds, the Euro Principal Proceeds, the Undrawn Amount under the Class A1A Note Purchase 

Agreement and the Sterling Principal Proceeds converted into Euro at the Issue Date Spot Rate. 

“Measurement Date” means (a) the Target Date; (b) after the Issue Date, any day or days on which a 

substitution (including each day of any sale and reinvestment, if not the same day) of or default under a 

Collateral Debt Security occurs; (c) the date of acquisition of any Additional Collateral Debt Security 

(which calculation shall, if such acquisition is to be funded by a drawing under the Class A1A Notes, be 

made within two Business Days of the date of the notice of drawdown in respect thereof); (d) each 

Determination Date after the Target Date; (e) the 20th day of each month after the Target Date commencing 

in January 2008 or, if such date is not a Business Day, the next succeeding Business Day; and (f) with 

reasonable notice, any Business Day requested by any Rating Agency or the Trustee. 

“Mezzanine Loan” means (a) a Collateral Debt Security which is not a Dutch Ineligible Security that is a 

secured mezzanine loan, or other similar debt security, as determined by the Collateral Manager (excluding 

any loans to or issues by a start up company or an obligor with no trading history, unless (i) such loans or 

securities are fully guaranteed by an Affiliate which has an established trading history or Rating Agency 

Confirmation is received or (ii) such loans relate to the financing of a start up company that has been spun 

off from a company with an established trading history) or a Participation therein; or (b) a Synthetic 

Security, the Reference Obligation applicable to which is a mezzanine loan obligation of the type described 

in (a) above or a Participation therein, in which circumstances a Synthetic Security shall be treated as a 

Mezzanine Loan. 

“Minimum Denomination” means €100,000 in the case of each Class (other than the Class A1A Notes) of 

the Regulation S Notes and €500,000 in the case of each Class (other than the Class A1A Notes) of the Rule 

78

144A Notes and €1,000,000 or £500,000 in the case of the Class A1A Notes issued pursuant to Regulation 

S or Rule 144A. 

“Monthly Report” means the monthly report defined as such in the Collateral Administration Agreement 

which is prepared by the Collateral Administrator on behalf of the Issuer and is made available on a website 

or deliverable to the Issuer, the Trustee, the Collateral Manager and the Rating Agencies and, upon request 

therefor in accordance with Condition 4(d) (Information Regarding the Portfolio), to any Noteholder, which 

shall include information regarding the status of the Collateral Debt Securities pursuant to the Collateral 

Administration Agreement. 

“Net Portfolio Collateral Balance” means, on any Measurement Date, an amount equal to the sum of: 

(a) the aggregate of the Principal Balances of the Collateral Debt Securities (other than Non-Performing 

Securities and Long Dated Securities) and, for the avoidance of doubt, excluding from the calculation 

of the Principal Balance of a PIK Security, any deferred or capitalised interest in respect of that PIK 

Security since such PIK Security was acquired by the Issuer; 

(b) the aggregate principal balance standing to the credit of the Principal Collection Account, the Initial 

Proceeds Account, the Additional Collateral Account and the Euro Principal Reserve Account; 

(c) the aggregate principal balance standing to the credit of the Sterling Principal Account and the Sterling 

Additional Collateral Account converted into Euro at the Spot Rate; 

(d) the aggregate of the lesser of the Market Value and the applicable Recovery Percentage multiplied by 

the principal balance of each Non-Performing Security; 

(e) the aggregate of the applicable Recovery Percentage multiplied by the principal balance of each Long 

Dated Security; and 

(f) 

the aggregate of the principal balance of all Eligible Investments purchased by the Issuer with the 

Principal Proceeds or Uninvested Proceeds. 

Solely for the purpose of calculating the Net Portfolio Collateral Balance in connection with the Coverage 

Tests and the Reinvestment OC Test, (i) if on any date the aggregate Principal Balance of all CCC 

Securities or securities pending receipt of a credit estimate or shadow rating exceeds 5 per cent. of the 

Maximum Investment Amount, then the Net Portfolio Collateral Balance will be reduced by the sum 

(without duplication) of the Adjustment Amounts with respect to each CCC Security on such date; (ii) any 

Discount Collateral Debt Security (with the exception of CCC Securities as adjusted pursuant to paragraph 

(i) above) will be included at its purchase price, and (iii) any Current Pay Obligation with a Market Value 

of less than 80 per cent. shall be included at the applicable Recovery Percentage multiplied by the principal 

balance of such Current Pay Obligation. 

“Non-Euro Collateral Debt Security” means any Collateral Debt Security which is not denominated in 

Euro including for the avoidance of doubt, any Collateral Debt Security which is denominated in Sterling 

but whose acquisition was funded by the Issuer in Euro and such Collateral Debt Security denominated in 

Sterling is the subject of an Asset Swap Transaction and excluding any Sterling Collateral Debt Security. 

“Non-Performing Security” means (a) any Defaulted Security; and (b) any PIK Security the issuer or 

obligor (or, in the case of a Synthetic Security or Participation of which the Reference Obligation or related 

Collateral Debt Security is a PIK Security, the related Reference Obligor or, as the case may be, issuer or 

obligor of such Collateral Debt Security) of which has previously deferred and capitalised as principal any 

interest due thereon for (i) more than six consecutive months if such PIK Security is rated “BB+” or lower 

by Fitch or “BB+” or lower by S&P or (ii) more than twelve consecutive months if such PIK Security is 

rated “BBB” or higher by Fitch or “BBB” or higher by S&P; provided that a PIK Security shall not be a 

Non-Performing Security if an amount in respect of the interest so deferred and capitalised as referred to in 

sub-paragraphs (b)(i) and (ii) is subsequently received in cash by the Issuer in excess of (i) EURIBOR plus 

2.0 per cent. per annum (in the case of a floating rate Euro Collateral Debt Security); or (ii) LIBOR plus 2.0 

per cent. per annum (in the case of a floating rate Sterling Collateral Debt Security) for the period since 

such PIK Security was acquired by the Issuer. 

79

“Note Interest Rate” means, in respect of any Class of Note, the annual rate at which interest accrues on 

the Notes of such Class as specified in Condition 6 (Interest) including for the avoidance of doubt, the 

relevant margins referred to therein. 

“Noteholder Valuation Report” means the quarterly report defined as such in the Collateral 

Administration Agreement which is prepared by the Collateral Administrator on behalf of the Issuer and is 

made available on a website or deliverable to the Issuer, the Trustee, the Collateral Manager and the Rating 

Agencies and, upon request therefor in accordance with Condition 4(d) (Information Regarding the 

Portfolio), to any Noteholder, which shall include information regarding the status of the Collateral Debt 

Securities pursuant to the Collateral Administration Agreement. 

“Noteholders” means the Person in whose name a Note is registered in the Register or the Capital 

Commitment Register, as the case may be, from time to time. 

“Notes” means the Class A1A Notes, the Class A1B Notes, the Class A2 Notes, the Class B Notes, the 

Class C Notes, the Class D Notes, the Class E Notes and the Class N Notes or any of them. 

“Obligor” means the borrower thereunder or issuer thereof or, in either case, the guarantor thereof (as 

determined by the Collateral Manager on behalf of the Issuer) of each Collateral Debt Security including, 

where the context requires, a Reference Obligor. 

“Offer” means with respect to any Collateral Debt Security (a) any offer by the obligor under such 

obligation or by any other Person made to all of the creditors of such obligor in relation to such obligation 

to purchase or otherwise acquire such obligation (other than pursuant to any redemption in accordance with 

the terms of the related Underlying Instruments) or to convert or exchange such obligation into or for cash, 

securities or any other type of consideration or (b) any solicitation by the Issuer of such obligation or any 

other Person to amend, modify or waive any provision of such obligation or any related Underlying 

Instrument. 

“Outstanding” means: 

(a) in relation to the Notes, all the Notes which have been issued pursuant to the provisions of the Trust 

Deed other than: 

(i) 

(ii) 

(iii) 

(iv) 

(v) 

those which have been redeemed in accordance with the Trust Deed and the Conditions; 

those in respect of which the Redemption Date in accordance with the Conditions has 

occurred and the full Redemption Price in respect whereof has been duly paid to the 

Noteholders, the Trustee or the Paying Agents in the manner provided in the Agency 

Agreement and, where appropriate, notice to that effect has been given to the relevant 

Noteholders in accordance with the Conditions and such moneys either have been paid to the 

Noteholders or remain available for payment against presentation of the relevant Notes; 

those which have become void under the Conditions; 

any Global Note to the extent that it shall have been exchanged for Definitive Notes and in the 

case of any Note, to the extent of the extinguishment of the amount thereof by payment in 

respect thereof; and 

those mutilated or defaced Notes for which replacement Notes have been issued pursuant to 

the Conditions; 

provided that for each of the following purposes: 

(A) 

(B) 

the right to attend and vote at any meeting of Noteholders; 

the determination of how many and which Notes are Outstanding for the purposes of 

Clause 7.2 (Enforcement) of the Trust Deed and Condition 10 (Events of Default) of 

the Conditions; 

80

(C) 

(D) 

any discretion, power or authority (whether contained in the Trust Deed or vested by 

operation of law) which the Trustee is required expressly or impliedly to exercise in 

or by reference to the interests of the Noteholders or any one of them; and 

the determination by the Trustee whether any event or potential event is or would be 

materially prejudicial to the interests of the Noteholders or any of them, 

those Notes (if any) which are, for the time being, beneficially held by or on behalf of the Issuer or (if any 

of the purposes specified in (A) to (D) above relates to a decision concerning the removal of the Collateral 

Manager), the Collateral Manager or any Affiliate of the Collateral Manager shall (unless and until 

cancelled or ceasing to be so held) be deemed not to be Outstanding. The Trustee shall be entitled to 

assume that there are no such holders except to the extent that it is otherwise expressly aware and shall not 

be bound or concerned to make such enquiry. The Trustee may rely on a certificate of the Issuer or the 

Collateral Manager (as the case may be) as to such holdings; and 

(b) in relation to the Class A1A Notes, (i) the Total Outstandings at any time (each amount denominated in 

Sterling is converted into Euro at the Issue Date Spot Rate and (ii) only in respect of calculating voting 

rights of the Controlling Class and the Coverage Tests, at any time, the Total Commitments; 

provided further that, for the avoidance of doubt, that the Notes will be deemed not to be Outstanding prior 

to the Issue Date. 

“Participation” means an interest in a Collateral Debt Security acquired indirectly by the Issuer (by way of 

participation or sub-participation) from a Selling Institution. 

“Participation Agreement” means an agreement between the Issuer and a Selling Institution in relation to 

the purchase by the Issuer of a Participation. 

“Payment Date” means (i) the 18 th day of January and July in each year, commencing on 18 January 2008, 

the Maturity Date and any Redemption Date; provided that if any Payment Date would otherwise fall on a 

day which is not a Business Day, it shall be postponed to the next day that is a Business Day. 

“Payment Default” means the occurrence of an Issuer Event of Default under paragraphs (i) (Failure to 

pay Interest) or (ii) (Failure to pay Principal) of Condition 10(a) (Events of Default). 

“Person” means an individual, corporation (including a business trust), partnership, joint venture, 

association, joint stock company, trust (including any beneficiary thereof), unincorporated association or 

government or any agency or political subdivision thereof. 

“PIK Security” means any Collateral Debt Security with respect to which the issuer thereof or obligor 

thereon (or, in the case of a Synthetic Security or Participation, the related Reference Obligor or, as the case 

may be, obligor of the underlying Collateral Debt Security) has the right under the instrument or agreement 

pursuant to which such Collateral Debt Security was issued or created to defer or capitalise interest due on 

such Collateral Debt Security (including without limitation by way of capitalising interest thereon or by 

issuance of additional debt obligations identical thereto) or to pay interest by the issuance of a further 

obligation and, in either case, is not required to pay cash in interest at least semi annually; provided 

however that any such Collateral Debt Security shall not have been issued or created with the express intent 

that interest thereon be subject only to deferral or capitalisation. 

The Principal Balance of any PIK Security will include any amount of such PIK Security representing 

previously deferred or capitalised interest (excluding any capitalised interest accruing after the purchase of 

such Collateral Debt Security). 

“Portfolio” means the Collateral Debt Securities, Collateral Enhancement Securities and Defaulted Equity 

Securities held by or on behalf of the Issuer (or, in the case of a loaned Collateral Debt Security, held 

pursuant to the applicable Securities Lending Agreement) from time to time. 

“Presentation Date” means a day on which a holder presents, or is entitled to present (as the case may be), 

a Note for payment and which (subject to Condition 12 (Prescription)): 

81

(a) is a Business Day; 

(b) is or falls after the relevant due date for payment or, if the due date is not or was not a Business Day in 

The Netherlands, is or falls after the next following Business Day which is a business day in The 

Netherlands; and 

(c) is a Business Day in the place in which the account specified by the payee is open. 

“Principal Balance” means, with respect to any Collateral Debt Security, Eligible Investment or any 

Defaulted Equity Security, as of any date of determination, the outstanding principal amount thereof 

(excluding any capitalised interest accruing after the purchase of such Collateral Debt Security); provided, 

however, that: 

(a) the Principal Balance of any Defaulted Equity Security shall be deemed to be zero; 

(b) unless otherwise specified, the Principal Balance of: 

(i) 

(ii) 

any Collateral Debt Security received upon acceptance of an Offer for another Collateral Debt 

Security which Offer expressly states that failure to accept such Offer may result in a default 

under the Collateral Debt Security or applicable Underlying Instruments; or 

any Collateral Debt Security which is or has become a Non-Performing Security, 

shall be the lesser of its Market Value and the applicable Recovery Percentage multiplied by the principal 

balance of each such Collateral Debt Security; 

(c) the Principal Balance of any Collateral Debt Security that is a Synthetic Security or a Participation or 

Collateral Debt Security loaned pursuant to a Securities Lending Agreement shall be deemed to be the 

principal or notional amount of such Synthetic Security or Participation or Collateral Debt Security 

loaned pursuant to a Securities Lending Agreement (in the case of a Synthetic Security, as reduced 

from time to time in accordance with the terms thereof including as a result of the occurrence of any 

“credit event” thereunder) unless either (i) the Collateral Manager or the Rating Agencies determines 

otherwise and the Rating Agencies confirm that such determination will not adversely affect the ratings 

assigned to the Senior Notes and the other Rated Notes; or (ii) if the Reference Obligation or 

underlying Collateral Debt Security in respect thereof is a Collateral Debt Security which falls within 

(a) and (b) above, in which event the Principal Balance shall be deemed to be zero until such time as 

Interest Proceeds or Principal Proceeds, as applicable, are received in cash when due with respect to 

such Collateral Debt Security; 

(d) the Principal Balance of any PIK Security will include any amount of such PIK Security representing 

previously deferred or capitalised interest (excluding any deferred interest which has been capitalised 

and/or accrued up to the date of acquisition thereof); 

(e) the Principal Balance of any cash shall be the amount of such cash; and 

(f) 

the Principal Balance of a Non-Euro Collateral Debt Security the subject of an Asset Swap Transaction 

shall be an amount equal to the notional amount of such Asset Swap Transaction. 

The Principal Balance of a Sterling Collateral Debt Security shall be converted into Euro at the Issue Date 

Spot Rate and the Principal Balance of a Non-Euro Collateral Debt Security shall be converted into Euro at 

the Asset Swap Transaction Exchange Rate, provided that for the purposes of calculating the Coverage 

Tests, the Reinvestment OC Test and any Collateral Quality Test, the Principal Balance of a Sterling 

Collateral Debt Security shall be converted into Euro at the Spot Rate. 

“Principal Collection Account” means Euro account so named of the Issuer held with the Account Bank 

into which Euro Principal Proceeds are to be paid. 

“Principal Proceeds” means the Euro Principal Proceeds and the Sterling Principal Proceeds. 

“Priorities of Payment” means: 

82

(a) save in respect of any redemption of the Notes pursuant to Condition 7(b) (Optional Redemption) and 

prior to enforcement of the security over the Collateral in accordance with Condition 11 (Enforcement), 

in respect of any Payment Date in the case of Interest Proceeds, the priorities of payment set out in 

Condition 3(c)(i) (Application of Interest Proceeds on Payment Dates) or, in the case of Principal 

Proceeds, the priorities of payment set out in Condition 3(c)(iii) (Application of Principal Proceeds on 

Payment Dates); 

(b) in the event of any redemption of the Notes pursuant to Condition 7(b) (Optional Redemption) and on 

and following enforcement of the security over the Collateral in accordance with Condition 11 

(Enforcement), the priorities of payment set out in Condition 11 (Enforcement); and 

(c) save in respect of any redemption of the Notes prior to enforcement of the security over the Collateral 

in accordance with Condition 11 (Enforcement), in the case of Interest Proceeds, other than on any 

Payment Date, the priorities of payment set out in Condition 3(c)(ii) (Application of Interest Proceeds 

between Payment Dates) or, in the case of Principal Proceeds, the priorities of payment set out in 

Condition 3(c)(iv) (Application of Principal Proceeds between Payment Dates). 

“Priority Category Recovery Rate” means the Fitch Priority Category Recovery Rate and/or the S&P 

Priority Category Recovery Rate each as defined in the Collateral Administration Agreement. 

“Proceedings” has the meaning given to it in Condition 18(b) (Jurisdiction). 

“Qualified Purchaser” means a Person who is a qualified purchaser as defined in Section 2(a)(51) of the 

Investment Company Act 1940, as amended, and the rules thereunder. 

“Qualifying Country” shall have the meaning given to such term in the Collateral Management 

Agreement. 

“QIB” or “Qualified Institutional Buyer” means a Person who is a “qualified institutional buyer” as 

defined in Rule 144A. 

“Quotation Date” shall have the meaning given to such term in the Class A1A Note Purchase Agreement. 

“Ramp-Up Period” means the period from and including the Issue Date to and including the Target Date. 

“Rated Notes” means, so long as any Notes of the relevant Class remain Outstanding, the Senior Notes, the 

Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes. 

“Rating Agencies” means each of Fitch and S&P or, if at any time Fitch or S&P ceases to provide rating 

services, any other nationally recognised investment rating agency selected by the Issuer, and reasonably 

satisfactory to the Trustee (a “Replacement Rating Agency”). In the event that at any time a Rating 

Agency is replaced by a Replacement Rating Agency pursuant to this definition, references to rating 

categories of the original Rating Agency in these Conditions, the Trust Deed, the Collateral Management 

Agreement, the Collateral Administration Agreement and any other Transaction Document shall be deemed 

instead to be references to the equivalent categories of the relevant Replacement Rating Agency as of the 

most recent date on which such Replacement Rating Agency published ratings for the type of security in 

respect of which such Replacement Rating Agency is used as determined by the Issuer. 

“Rating Agency Confirmation” means consent in writing from Fitch or S&P (as applicable) that a 

proposed action will not cause the downgrade or withdrawal of its then current rating of the Senior Notes or 

any other Class of Rated Notes. 

“Rating Requirement” means: 

(a) in the case of the Liquidity Facility Provider, a short term senior unsecured debt rating of at least “F1” 

by Fitch and “A-1” by S&P; 

(b) in the case of the Account Bank and the Principal Paying Agent, a short term senior unsecured debt 

rating of at least “F1” by Fitch and “A-1+” by S&P; 

83

(c) in the case of a Hedge Counterparty (or if applicable, a guarantor of such Hedge Counterparty), a short 

term senior unsecured debt rating of at least “F1” by Fitch and “A-1+” by S&P and a long term senior 

unsecured debt rating of at least “A+” by Fitch; 

(d) in the case of any Class A1A Noteholder (or if applicable, a guarantor of such Class A1A Noteholder), 

(i) a short term senior unsecured debt rating of at least “F1” by Fitch and a long term senior secured 

debt rating of at least “A+” by Fitch; and (ii) if such Class A1A Noteholder is a financial institution, a 

short term issuer credit rating of at least “A-1” by S&P; or if such Class A1A Noteholder is a conduit, a 

short term issuer credit rating of at least “A-1+” by S&P unless the liquidity facility provider of such 

conduit co-signs the form of Transfer Certificate as set out in Schedule 3 to the Class A1A Note 

Purchase Agreement, in which case such conduit must have a short term issuer credit rating of at least 

“A-1” by S&P; and 

(e) in the case of any Custodian, a short term senior unsecured debt rating of at least “F1” by Fitch and “A- 

1” by S&P and a long term senior unsecured debt rating of at least “A+” by Fitch, 

in each case, for so long as the Rating Agencies have assigned a rating to the Rated Notes and where the 

requirements stated above are not satisfied, Rating Agency Confirmation is received with respect to such 

party. 

“Record Date” has the meaning given thereto in Condition 8(a) (Method of Payment). 

“Recovery Percentage” applicable to (a) a Non-Performing Security means the lower of (i) the lower of 

the Fitch and S&P’s Priority Category Recovery Rate; and (ii) the current Market Value; and (b) a Long 

Dated Security or a Current Pay Obligation with a Market Value of less than 80 per cent. means the lower 

of the recovery rate assigned to such security by Fitch and S&P; and (c) a CCC Security means the lower of 

(i) the lower of the recovery rate assigned to such security by Fitch and S&P and (ii) the current Market 

Value. 

“Redemption Date” means each date specified for a redemption of the Notes of a Class in full pursuant to 

Condition 7 (Redemption) or the date on which the Notes of such Class are accelerated pursuant to 

Condition 10 (Events of Default), or in each case, if such day is not a Business Day the next following 

Business Day. 

“Redemption Determination Date” has the meaning given thereto in Condition 7(b)(ii) (Conditions to 

Optional Redemption at the Option of the Class N Noteholders). 

“Redemption Notice” means a redemption notice in the form available from any of the Transfer Agents 

which has been duly completed by a Noteholder and which specifies, amongst other things, the applicable 

Redemption Date. 

“Redemption Price” means, when used with respect to: 

(a) any Class A Note (other than the Class A1A Notes), Class B Note, Class C Note, Class D Note or Class 

E Note, 100 per cent. of the outstanding principal amount of such Note to be redeemed, together with 

interest accrued thereon to the date of redemption; 

(b) the Class A1A Notes, 100 per cent. of the Total Outstandings under the Class A1A Notes, together 

with the Interest Amounts accrued thereon (including the Class A1A Increased Margin) to the date of 

repayment and any amounts due and payable by the Issuer in respect of the Commitment Fee and the 

Break Costs; and 

(c) any Class N Note, such Class N Note’s pro rata share (based on the percentage which the outstanding 

principal amount of such Class N Note bears to the aggregate principal amount of all Class N Notes 

Outstanding immediately prior to such redemption) of the aggregate proceeds of liquidation of the 

Collateral or realisation of the security thereover in such circumstances, remaining following 

application thereof in accordance the Priorities of Payment, after satisfaction in full of the Redemption 

Threshold Amount. 

84

“Redemption Threshold Amount” means the aggregate of the amounts which would be due and payable 

on the redemption of the Notes on the scheduled Redemption Date and all other amounts which, pursuant to 

Condition 11 (Enforcement), rank in priority to payments in respect of the Class N Notes in accordance 

with the Priorities of Payment (including any amounts payable by the Issuer on termination or liquidation of 

the Hedge Agreements, net of any amounts received by the Issuer on termination or liquidation of such 

agreements on the basis that such Hedge Agreements are terminated with payments thereon being payable 

on the scheduled Redemption Date). 

“Reference Obligation” means a debt obligation to which a Synthetic Security is linked that satisfies 

paragraph (a) of the Eligibility Criteria, provided that such debt obligation may be denominated in a 

currency other than Euro or Sterling. 

“Reference Obligor” means the obligor of a Reference Obligation. 

“Register” has the meaning given thereto in Condition 2(a) (Forms and Denomination). 

“Regulation S” means Regulation S under the Securities Act. 

“Regulation S Definitive Notes” means the Class A1A Regulation S Definitive Notes, the Class A1B 

Regulation S Definitive Notes, the Class A2 Regulation S Definitive Notes, the Class B Regulation S 

Definitive Notes, the Class C Regulation S Definitive Notes, the Class D Regulation S Definitive Notes, the 

Class E Regulation S Definitive Notes and the Class N Regulation S Definitive Notes or (as the context 

may require) any of them. 

“Regulation S Global Notes” means the Class A1B Regulation S Global Note, the Class A2 Regulation S 

Global Note, the Class B Regulation S Global Note, the Class C Regulation S Global Note, the Class D 

Regulation S Global Note, the Class E Regulation S Global Note and the Class N Regulation S Global Note 

or (as the context may require) any of them. 

“Regulation S Notes” means Notes offered for sale outside of the United States under Regulation S. 

“Reinvestment Criteria” means the Reinvestment Criteria specified in the Collateral Management 

Agreement. 

“Reinvestment OC Ratio” means, as at any Measurement Date, the ratio (expressed as a percentage) 

obtained by dividing the Net Portfolio Collateral Balance by the aggregate principal amount of the Senior 

Notes, the Class B Notes, the Class C Note, the Class D Notes and the Class E Notes Outstanding 

(including for the avoidance of any doubt, the Class B Deferred Interest, the Class C Deferred Interest, the 

Class D Deferred Interest and the Class E Deferred Interest). 

“Reinvestment OC Test” shall be satisfied in respect of a Measurement Date if, on such Measurement 

Date, the Reinvestment OC Ratio is at least 105.6 per cent. 

“Reinvestment Period” means the period from, and including, the Issue Date and ending on (but 

excluding) the first to occur of (i) the Determination Date immediately preceding the Payment Date falling 

in July 2013; (ii) the Payment Date on which the entire aggregate principal amount outstanding of all the 

Notes is to be optionally redeemed; (iii) the date of the occurrence of an Issuer Event of Default; (iv) the 

date on which the Trustee notifies the Issuer in writing that consent is given by the holders of at least 50 per 

cent. of the aggregate principal amount outstanding of the Class N Notes (including for this purpose any of 

the Notes held by the Collateral Manager and its Affiliates) to terminate the Reinvestment Period prior to 

the Determination Date falling in July 2013 following a notification by the Collateral Manager (acting in its 

sole and absolute discretion on behalf of the Issuer) to the Issuer that the Collateral Manager has, after 

making all reasonable efforts to do so, been unable for reasons beyond its control, to identify Additional 

Collateral Debt Securities that are deemed appropriate by the Collateral Manager (acting reasonably in 

accordance with its normal practice and acting on behalf of the Issuer) and which meet the Eligibility 

Criteria or, to the extent applicable, the Reinvestment Criteria in sufficient amounts to permit investment or 

reinvestment of the funds required to be invested by the Issuer. 

85

“Relevant Amount” in respect of a PIK Security is that amount of interest which has been deferred, 

capitalised or paid by the issuance of a further obligation, and which is repaid or otherwise realised and 

shall be determined as follows: 

(a) where interest is paid by issuance of a further obligation, the Relevant Amount shall be the amount 

realised by the Issuer on sale, redemption or repayment of such further obligation; 

(b) where interest is deferred or capitalised, the Relevant Amount shall be the amount: 

(i) 

(ii) 

(iii) 

in the case of redemption or repayment of the relevant PIK Security, of the deferred or 

capitalised interest less any amount by which the amount received on redemption or 

repayment is less than the Principal Balance of such PIK Security and accrued interest for the 

last interest period to the date of redemption or repayment; or 

in the case of any other realisation of the relevant PIK Security, of the deferred or capitalised 

interest less the amount by which the amount received in respect of such realisation is less 

than the Principal Balance of such PIK Security and accrued interest for the period to the date 

of realisation; or 

in the case such deferred or capitalised interest is paid by the obligor (or any guarantor 

thereof) other than on redemption or repayment, the amount of such deferred or capitalised 

interest received by the Issuer. 

If interest accrues on any deferred or capitalised interest or on any further obligation issued in payment of 

interest, such accrued interest which is paid to the Issuer shall be treated as a Relevant Amount in respect of 

such PIK Security. 

“Relevant Date” means whichever is the later of (a) the date on which any payment first becomes due and 

(b) if the full amount payable has not been received by the Registrar or the Trustee on or prior to such due 

date, the date on which the full amount having been so received, notice to that effect shall have been given 

to the Noteholders in accordance with Condition 16 (Notices). 

“repay” shall include redeem and vice versa and repaid, repayable, repayment, redeemed, redeemable and 

redemption shall be construed accordingly. 

“Repayment Date” means, the earlier of the (a) the Maturity Date for the Class A Notes; and (b) the 

Redemption Date for the Class A Notes. 

“Replacement Collateral Manager” means the person appointed pursuant to the Collateral Management 

Agreement to replace the Collateral Manager. 

“Replacement Collateral Manager Subordinated Fee” means the sum of (i) the subordinated fee payable 

to a Replacement Collateral Manager on each Payment Date pursuant to the Collateral Management 

Agreement equal to such percentage per annum as agreed when such Replacement Collateral Manager is 

appointed of the daily weighted average aggregate of the Principal Balances of the Collateral Debt 

Securities during the Due Period ending immediately preceding such Payment Date and (ii) any value 

added tax in respect thereof (whether payable to the Replacement Collateral Manager or directly to the 

relevant taxing authority). 

“Replacement Hedge Agreement” means any Hedge Agreement entered into by the Issuer upon 

termination of an existing Hedge Agreement on substantially the same terms as the original Hedge 

Agreement (including with respect to any Hedge Transactions entered into thereunder). 

“Rule 144A” means Rule 144A under the Securities Act. 

“Rule 144A Definitive Notes” means the Class A1A Rule 144A Definitive Notes, the Class A1B Rule 

144A Definitive Notes, the Class A2 Rule 144A Definitive Notes, the Class B Rule 144A Definitive Notes, 

the Class C Rule 144A Definitive Notes, the Class D Rule 144A Definitive Notes, the Class E Rule 144A 

Definitive Notes and the Class N Rule 144A Definitive Notes or (as the context may require) any of them. 

86

“Rule 144A Global Notes” means the Class A1B Rule 144A Global Note, the Class A2 Rule 144A Global 

Note, the Class B Rule 144A Global Note, the Class C Rule 144A Global Note, the Class D Rule 144A 

Global Note, the Class E Rule 144A Global Note, the Class N Rule 144A Global Note or (as the context 

may require) any of them. 

“Rule 144A Notes” means Notes offered for sale within the United States in reliance on Rule 144A. 

“Sale Proceeds” means (i) all proceeds (including accrued interest designated as Principal Proceeds by the 

Collateral Manager and any fees, but excluding accrued interest designated as Interest Proceeds by the 

Collateral Manager) received upon the sale or other realisation of any Collateral Debt Security, Eligible 

Investment, Collateral Enhancement Security, PIK Security or Defaulted Equity Security and (ii) any 

Distribution received upon liquidation of Synthetic Security Collateral (in the event that the Synthetic 

Security or the Synthetic Security Obligor’s security interest is terminated by the Collateral Manager acting 

on behalf of the Issuer or sold or assigned), net of any amounts expended by or payable by the Collateral 

Manager or the Collateral Administrator (on behalf of the Issuer) in connection with such sale or other 

realisation. To the extent such Sale Proceeds are in respect of a Sterling Collateral Debt Security or 

Sterling denominated Eligible Investment, such Sale Proceeds shall be determined in Sterling and to the 

extent such Sale Proceeds are in respect of a Euro Collateral Debt Security, a Non-Euro Collateral Debt 

Security, or Euro denominated Eligible Investments, such Sale Proceeds shall be determined in Euro. 

“Screen Rate” has the meaning given to such term in Condition 6(e)(i)(A). 

“Second Lien Loan” means (a) any obligation or obligations which would be a Bank Loan (excluding subparagraph 

(iii) thereof) except that it is subordinated to another obligation of the Obligor which has a higher 

priority security interest in the fixed assets or stock on which the loan is secured; or (b) a Synthetic 

Security, the Reference Obligation applicable to which is a second lien loan obligation of the type described 

in (a) above or a Participation therein, in which circumstances a Synthetic Security shall be treated as a 

Second Lien Loan; 

“Secured Participation” means a Participation in respect of which the Issuer has security over the 

Collateral Debt Security to which such Participation relates. 

“Secured Party” means each of the Noteholders, each Agent, the Account Bank, the Collateral 

Administrator, the Collateral Manager, the Custodian, each Hedge Counterparty, the Capital Commitment 

Registrar, the Liquidity Facility Provider, the Initial Purchaser, the Trustee on behalf of itself and any 

receiver appointed by the Trustee pursuant to the Trust Deed. 

“Securities Act” means the U.S. Securities Act of 1933, as amended. 

“Securities Lending Account” means the interest bearing account in the name of the Issuer held with the 

Account Bank into which all Securities Lending Collateral is to be deposited. 

“Securities Lending Agent” means any person having the regulatory capacity to conduct securities 

business in The Netherlands appointed by the Collateral Manager on behalf of the Issuer, to enter into 

securities lending arrangements which are the subject of a Rating Agency Confirmation. 

“Securities Lending Agreement” means a securities lending agreement substantially in the format of the 

“Overseas Securities Lender’s Agreement” scheduled to the Collateral Management Agreement entered 

into between the Issuer and a Securities Lending Counterparty from time to time; provided however that 

Fitch shall have the opportunity of prior review of any such agreement. 

“Securities Lending Collateral” means any cash and/or securities of any one or more Qualifying Countries 

with a maturity of five years or less delivered to the Issuer as collateral for the obligations of a Securities 

Lending Counterparty under a Securities Lending Agreement, provided that such securities shall not be 

Dutch Ineligible Securities. 

“Securities Lending Counterparty” means any counterparty to a Securities Lending Agreement with the 

Issuer with a short term debt rating or a guarantor with such rating of at least “F1” from Fitch and “A-1+” 

from S&P and a long term rating of at least “A+” from Fitch, provided that, to the extent required, such 

87

counterparty has the regulatory capacity as a matter of Dutch law to enter into securities transactions with 

Dutch residents. 

“Selling Institution” means an institution from which a Participation is acquired. 

“Senior Administrative Expenses” means, on any Payment Date, the Administrative Expenses set out in 

each of paragraphs (a) through (l) of the definition of Administrative Expenses which shall be payable in 

the order of priority as listed and shall not exceed, in aggregate, €125,000 in any Due Period. 

“Senior Coverage Test” means the Senior Interest Coverage Test and the Senior Overcollateralisation 

Test. 

“Senior Interest Coverage Ratio” means, on any Measurement Date, the ratio (expressed as a percentage) 

obtained by dividing (a) the Interest Coverage Amount by (b) the aggregate of the scheduled interest 

payments payable on the Senior Notes on the following Payment Date (including any Commitment Fee but 

excluding any Class A1A Increased Margin). 

“Senior Interest Coverage Test” shall be satisfied in respect of any Measurement Date falling on or after 

the Target Date if, on such Measurement Date, the Senior Interest Coverage Ratio is at least 105.0 per cent. 

“Senior Noteholders” means together the holders of the Class A Notes from time to time. 

“Senior Notes” means the Class A1A Notes, the Class A1B Notes and the Class A2 Notes. 

“Senior Notes Redemption Method” means that (i) the Senior Notes shall be redeemed in the following 

order of priority: first, to the redemption or repayment of the Class A1A Notes and the Class A1B Notes on 

a pro rata and pari passu basis and second, to the redemption of the Class A2 Notes on a pro rata and pari 

passu basis and (ii) the Issuer shall redeem or repay such Senior Notes by using available Euro Interest 

Proceeds and Euro Principal Proceeds to redeem and/or repay the Senior Notes denominated in Euro and 

available Sterling Interest Proceeds and Sterling Principal Proceeds to redeem and/or repay the Senior 

Notes denominated in Sterling. 

“Senior Overcollateralisation Ratio” means, as at any Measurement Date, the ratio (expressed as a 


the Senior Notes Outstanding. 

“Senior Overcollateralisation Ratio Test” shall be satisfied in respect of any Measurement Date falling on 

or after the Target Date if, on such Measurement Date, the Senior Overcollateralisation Ratio is at least 


“Senior Secured Loan” means (a) a senior secured loan obligation as determined by the Collateral 

Manager in its reasonable commercial judgement or a Participation thereof; or (b) a Synthetic Security, the 

Reference Obligation applicable to which is an obligation of the type described in paragraph (a) above, that 

is: 

(a) secured by (i) fixed assets of the Obligor if and to the extent a pledge of fixed assets is permissible 

under applicable law (save in the case of assets so numerous or diverse that the failure to take such 

security is consistent with reasonable secured lending practices), and otherwise (ii) 100 per cent. of the 

equity interests in the stock of an entity owning such fixed assets; and 

(b) no other obligation of the Obligor has any higher priority security interest in such fixed assets or stock. 

“Senior Trustee Fees” means, on any Payment Date, Trustee Fees which, when aggregated with all Trustee 

Fees paid during the related Due Period, shall not exceed 0.02 per cent. of the aggregate of the Principal 

Balances of the Collateral Debt Securities on the immediately preceding Payment Date. 

“Senior Unsecured Loan” means a senior unsecured loan obligation as determined by the Collateral 

Manager in its reasonable commercial judgement or a Participation thereof. 

88

“Special Debt Security” means (i) a Senior Unsecured Loan or Subordinated Unsecured Loan; and (ii) any 

other obligation or security (not being a Dutch Ineligible Security) for which the Issuer has obtained Rating 

Agency Confirmation, including in each case, a Synthetic Security whose Reference Obligation is a senior 

or subordinated unsecured loan obligation similar to the foregoing other than: 

(a) a Bank Loan; 

(b) a Mezzanine Loan; 

(c) a Second Lien Loan; and 

(d) a CLO Security. 

“Spot Rate” means with respect to any conversion of Sterling into Euro or, as the case may be, of Euro into 

Sterling, the relevant spot rate of exchange quoted by the Collateral Administrator on the date of 

calculation. 

“Stand-by Account” means each of the account(s) so named of the Issuer as may be established with the 

Account Bank from time to time for each Class A1A Noteholder who does not meet the Rating 

Requirement pursuant to the terms of the Class A1A Note Purchase Agreement. 

“Stand-by Liquidity Account” means each of (a) the interest bearing account denominated in Euro so 

named of the Issuer to be established with the Account Bank pursuant to the terms of the Liquidity Facility 

Agreement and (b) the interest bearing account denominated in Sterling which may be established in the 

name of the Issuer held with the Account Bank pursuant to the terms of the Liquidity Facility Agreement. 

“S&P” means Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. and any successor or 

successors thereto. 

“S&P Rating” has the meaning given to it in the Collateral Administration Agreement. 

“Stated Maturity” means, with respect to any Collateral Debt Security or Note, the date specified in such 

obligation as the fixed date on which the final payment or repayment of principal of such obligation is due 

and payable or, if such date is not a Business Day, the next following Business Day. 

“Sterling Accounts” means the Sterling Interest Account, the Sterling Principal Account, the Sterling 

Additional Collateral Account, the Sterling Payment Account, the Sterling Liquidity Payment Account and 

the Sterling Expense Account. 

“Sterling Additional Collateral Account” means the Sterling account so named of the Issuer held with the 

Account Bank, amounts standing to the credit of which, subject to certain conditions, may be used to 

purchase Additional Collateral Debt Securities during the Reinvestment Period. 

“Sterling Collateral Debt Security” means a Collateral Debt Security denominated in Sterling and for the 

avoidance of doubt, “Sterling Collateral Debt Security” does not include a Non-Euro Collateral Debt 

Security which is denominated in Sterling. 

“Sterling Drawings” has the meaning ascribed thereto in the Class A1A Note Purchase Agreement. 

“Sterling Expense Account” means the Sterling account so named of the Issuer held with the Account 

Bank, amounts standing to the credit of which may be used to fund certain expenses arising between 

Payment Dates. 

“Sterling Funding Mismatch” means on any Determination Date or any other date of calculation, the 

greater of (a) zero; and (b) the aggregate principal amount outstanding of any Sterling Drawings on such 

Determination Date less the sum of (i) the aggregate Principal Balance of all Sterling Collateral Debt 

Securities on such Determination Date and (ii) the Sterling Principal Proceeds (excluding any amounts paid 

by the Initial Hedge Counterparty to the Issuer pursuant to the Initial Hedge Agreement) standing to the 

credit of the Sterling Principal Account on such Determination Date. 

89

“Sterling Interest Account” means Sterling account so named of the Issuer held with the Account Bank 

into which all Sterling Interest Proceeds are to be paid. 

“Sterling Interest Proceeds” means with respect to any Due Period (without duplication) the sum of: 

(a) all payments of interest received in cash by the Issuer during the related Due Period on the Sterling 

Collateral Debt Securities purchased by the Issuer and Sterling denominated Eligible Investments 

(other than interest accrued on Sterling Collateral Debt Securities purchased by the Issuer to the date of 

acquisition thereof by the Issuer and purchased with Sterling Principal Proceeds or with amounts drawn 

under the Class A1A Notes); 

(b) all accrued interest received in cash by the Issuer during the related Due Period with respect to Sterling 

Collateral Debt Securities realised by the Issuer (other than (i) interest accrued on Sterling Collateral 

Debt Securities to the date of acquisition thereof by the Issuer and purchased with Sterling Principal 

Proceeds or with amounts drawn under the Class A1A Notes and other than any Relevant Amount 

denominated in Sterling in respect of such realisation, and (ii) interest accrued on any PIK Security 

denominated in Sterling to the date of acquisition thereof by the Issuer and purchased with Sterling 

Principal Proceeds or with amounts drawn under the Class A1A Notes); 

(c) (i) all payments of principal in Sterling received in cash by the Issuer during the related Due Period on 

Eligible Investments to the extent such Eligible Investments were acquired with Sterling Interest 

Proceeds; and (ii) all amounts representing the element of deferred interest in any payments received in 

respect of any Mezzanine Loan or Second Lien Loan which is not a Defaulted Security and which by 

its contractual terms provides for the deferral of interest; 

(d) all amounts denominated in Sterling, if any, paid to the Issuer by any Hedge Counterparty (other than 

any Hedge Termination Receipts) under any Hedge Transaction in such Due Period and all amounts 

payable to the Issuer by any Hedge Counterparty (other than any Hedge Termination Receipts) under 

any Hedge Transaction on the Payment Date immediately following such Due Period; 

(e) all amounts denominated in Sterling of amendment and waiver fees, all late payment fees, syndication 

fees and all other fees and commissions received in cash by the Issuer during the related Due Period in 

connection with the Sterling Collateral Debt Securities purchased by the Issuer and Sterling 

denominated Eligible Investments; 

(f) 

the amount of Sterling standing to the credit of the Sterling Expense Account on the last Business Day 

of the Due Period ending immediately prior to the Redemption Date or Maturity Date; 

(g) all amounts, if any, paid in Sterling to the Issuer by any Securities Lending Counterparty under any 

Securities Lending Agreement in such Due Period, including any scheduled interest payments on 

Securities Lending Collateral after the occurrence of an Event of Default under the related Securities 

Lending Agreement; and 

(h) any other amount in Sterling whether in the nature of profits, Trading Gains or otherwise which is 

designated as Sterling Interest Proceeds by the Collateral Manager; provided that the Collateral 

Manager may not designate Trading Gains as Sterling Interest Proceeds unless the sum of (i) the 

aggregate Principal Balance of all Collateral Debt Securities and (ii) the aggregate principal balance 

standing to the credit of the Principal Collection Account, the Initial Proceeds Account, the Additional 

Collateral Account and the Euro Principal Reserve Account, is equal to or greater than the Target Par 

Amount, in each case both immediately prior to and after giving effect to the reinvestment of the 

applicable proceeds that gave rise to such Trading Gains; 

but excluding (i) all Euro Interest Proceeds and (ii) any amounts recovered and any Distributions received 

in cash by the Issuer in respect of any Defaulted Securities denominated in Sterling following such Sterling 

Collateral Debt Security becoming a Defaulted Security other than where the aggregate amount of such 

recoveries or, as the case may be, such Distributions received in respect of such Defaulted Security exceeds 

the principal balance of the Sterling Collateral Debt Security immediately prior to the time it became a 

Defaulted Security and (iii) in respect of any scheduled interest payments described in paragraph (g) above 

in respect of a loaned Collateral Debt Security as to which an event of default under the related Securities 

Lending Agreement has occurred and is continuing; and (iv) in respect to any payments received from a 

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Hedge Counterparty pursuant to paragraph (d) above, amounts received by the Issuer from the Initial Hedge 

Counterparty pursuant to an Initial Hedge Agreement, provided that in no event shall Sterling Interest 

Proceeds include the €20,000 of capital contributed to the Issuer by the owners of the Issuer’s ordinary 

shares in accordance with the Issuer’s Articles of Incorporation. Any determination of the aggregate 

amount of Sterling Interest Proceeds with respect to any day during a Due Period will include all Sterling 

Interest Proceeds received by the Issuer from and including the first day of the related Due Period to and 

including such date of determination and amounts of Sterling Interest Proceeds in respect of a Due Period 

shall be determined so that amounts already included in respect of a prior Due Period are not included more 

than once. 

“Sterling Liquidity Payment Account” means the interest bearing account denominated in Sterling so 

named of the Issuer held with the Account Bank established as required pursuant to the terms of the 

Liquidity Facility Agreement. 

“Sterling Payment Account” means the account so named of the Issuer held with the Account Bank (a) 

into which amounts denominated in Sterling shall be transferred by the Collateral Administrator on the 

Business Day prior to each Payment Date out of (to the extent applicable) the other relevant Accounts; and 

(b) out of which the amounts denominated in Sterling is required to be paid on each Payment Date, each as 

provided pursuant to the Priorities of Payment, shall be paid. 

“Sterling Principal Account” means the Sterling account so named of the Issuer held with the Account 

Bank into which all Sterling Principal Proceeds are to be paid. 

“Sterling Principal Proceeds” means with respect to any Due Period, the sum (without duplication) of: 

(a) all payments of principal (including prepayments) received in cash by the Issuer during the related Due 

Period on the Sterling Collateral Debt Securities purchased by the Issuer and any Sterling denominated 

Eligible Investments (other than (i) Uninvested Proceeds, (ii) the amounts referred to in paragraph (c) 

of the definition of Sterling Interest Proceeds and (iii) Trading Gains designated as Sterling Interest 

Proceeds by the Collateral Manager); 

(b) all payments of interest received in cash by the Issuer during the related Due Period on the Sterling 

Collateral Debt Securities purchased by the Issuer and any Sterling denominated Eligible Investments 

to the extent such payments constitute proceeds from accrued interest purchased with Sterling Principal 

Proceeds or with amounts drawn under the Class A1A Notes; 

(c) all disposal proceeds received by the Issuer during the related Due Period in respect of Sterling 

Collateral Debt Securities purchased by the Issuer and Sterling denominated Eligible Investments, 

including without limitation, amounts received in respect of original issue or market discount, but 

excluding accrued interest constituting “Sterling Interest Proceeds” under paragraphs (a) or (b) of the 

definition of “Sterling Interest Proceeds” and excluding fees and commissions of the type referred to 

in paragraph (d) below; 

(d) all facility or other up front fees or other similar fees payable to the Issuer in relation to a Sterling 

Collateral Debt Security (save for those set out in paragraph (i) below and paragraph (e) of the 

definition of “Sterling Interest Proceeds”); 

(e) all call, redemption and prepayment premiums received in cash by the Issuer during such Due Period 

on the Sterling Collateral Debt Securities purchased by the Issuer and any Sterling denominated 

Eligible Investments; 

(f) 

all interest accrued received in cash realised by the Issuer on any Sterling Collateral Debt Security to 

the date of acquisition thereof by the Issuer and purchased with Sterling Principal Proceeds or with 

amounts drawn under the Class A1A Notes; 

(g) any other amounts received in Sterling (including, without limitation, recovery receipts but excluding 

any proceeds from the termination of any Hedge Agreements) by the Issuer during the relevant Due 

Period which are not included in the definition of “Sterling Interest Proceeds” and including for the 

avoidance of doubt, any Sterling amounts received by the Issuer from the Initial Hedge Counterparty 

pursuant to any Initial Hedge Agreement during the related Due Period; 

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(h) any scheduled principal payments denominated in Sterling in respect of Securities Lending Collateral 

after the occurrence of an event of default under the related Securities Lending Agreement, but 

excluding any scheduled principal payments in respect of a loaned Sterling Collateral Debt Security as 

to which an event of default under the related Securities Lending Agreement has occurred and is 

continuing; 

(i) 

(j) 

all fees or commissions, or other compensation received in cash, in connection with a workout or 

restructuring of any Sterling denominated Defaulted Security; and 

the amount standing to the credit of all Sterling Accounts other than the Sterling Expense Account on 

the last Business Day of the Due Period ending immediately prior to the Redemption Date or Maturity 

Date, 

provided that (i) in no event shall Sterling Principal Proceeds include Euro Principal Proceeds (ii) in no 

event shall Sterling Principal Proceeds include any amounts standing to the credit of the Issuer Dutch 

Account, (iii) prior to enforcement of the security over the Collateral in accordance with Condition 11 

(Enforcement) in no event shall Sterling Principal Proceeds include any Sale Proceeds denominated in 

Sterling in respect of any Collateral Enhancement Security which shall instead be credited to the Collateral 

Enhancement Account, (iv) all Distributions received in Sterling in cash by the Issuer in respect of any 

Defaulted Security which was a Sterling Collateral Debt Security shall be deemed to be payments of 

principal except to the extent that the aggregate amount of such Distributions received in cash in respect of 

such Defaulted Security exceeds the principal balance of the Sterling Collateral Debt Security immediately 

prior to the time it became a Defaulted Security so long as it continues to be a Defaulted Security after the 

receipt of such Distributions, and (v) all Distributions received in Sterling in cash by the Issuer in respect of 

an obligation pursuant to which future payments may be required to be made to a counterparty which shall 

instead be credited to the Sterling Additional Collateral Account. Any determination of the aggregate 

amount of Sterling Principal Proceeds with respect to any day during a Due Period will include all Sterling 

Principal Proceeds received by the Issuer from and including the first day of the related Due Period to and 

including such date of determination and the amount of Sterling Principal Proceeds in respect of a Due 

Period shall be determined so that amounts already included or included in respect of a prior Due Period are 

not included more than once. 

“Sterling Unscheduled Principal Proceeds” means, with respect to any Sterling Collateral Debt Security 

purchased by the Issuer, Sterling principal repayments prior to the Stated Maturity thereof received as a 

result of optional redemptions, prepayments above scheduled amortisations or Offers and Distributions 

denominated in Sterling and amounts received upon the liquidation of any Synthetic Security Collateral in 

the event that the Synthetic Security or the Synthetic Security Obligor’s security interest was subject to an 

early termination other than by the Issuer or the Collateral Manager on its behalf. 

“Structured Finance Security” means any debt security which is secured directly, or represents the 

ownership of, a pool of consumer receivables, auto loans, auto leases, equipment leases, home or 

commercial mortgages, corporate debt or sovereign debt obligations or similar assets, including, without 

limitation, collateralised bond obligations or any similar security. For the avoidance of doubt, a CLO 

Security shall not be classified as a Structured Finance Security. 

“Subordinated Administrative Expenses” means all Administrative Expenses other than Senior 

Administrative Expenses. 

“Subordinated Collateral Management Fee” means the sum of (i) the fee payable to the Collateral 

Manager on each Payment Date pursuant to the Collateral Management Agreement, equal to 0.40 per cent. 

per annum (calculated on the basis of a 360 day year and the actual number of days elapsed in such Due 

Period) of the daily weighted average aggregate of the Principal Balances of the Collateral Debt Securities 

during the Due Period ending immediately preceding such Payment Date and (ii) any value added tax in 

respect thereof (whether payable to the Collateral Manager or directly to the relevant taxing authority). 

“Subordinated Hedge Termination Payment” means any amount payable by the Issuer to a Hedge 

Counterparty upon termination of any Hedge Agreement in whole following the occurrence of an “Event of 

Default” or “Termination Event” (each as defined in such Hedge Agreement) under which the Hedge 

Counterparty was the sole “Defaulting Party” or the sole “Affected Party” (each such term as defined in 

such Hedge Agreement). 

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“Subordinated Trustee Fees” means all Trustee Fees other than Senior Trustee Fees. 

“Subordinated Unsecured Loan” means a subordinated unsecured loan obligation as determined by the 

Collateral Manager in its reasonable commercial judgement or a Participation thereof. 

“Synthetic Security” means any Euro (or predecessor currency of those EU Member States which have 

adopted the Euro as their currency) or Sterling denominated swap transaction, debt security, security issued 

by a trust or similar vehicle or other investment (excluding any equity investment) purchased from or 

entered into by the Issuer with a Synthetic Security Obligor and that satisfies the Eligibility Criteria, which 

investment contains a probability of default, recovery upon default (or a specified percentage thereof, which 

may not exceed 100 per cent.) and expected loss characteristics similar to those of the related Reference 

Obligation or Reference Obligor (without taking account of such default or recovery considerations as they 

relate to the Synthetic Security Obligor) but which may provide for a different maturity, interest rate, 

interest rate reference, currency or credit or other non-credit related characteristics than such Reference 

Obligation; provided that: 

(a) the acquisition, ownership, termination or disposition of such Synthetic Security will not subject the 

Issuer to tax on a net income basis; 

(b) amounts receivable by the Issuer will not be subject to withholding tax unless the Synthetic Security or 

the Reference Obligor is required to make “gross up” payments that cover the full amount of any such 

withholding tax; 

(c) such Synthetic Security will not constitute a commodity option, leverage transaction or futures contract 

that is subject to the jurisdiction of the U.S. Commodities Futures Trading Commission; 

(d) such Reference Obligation comprised in a Synthetic Security, if physically deliverable to the Issuer, is 

not a Dutch Ineligible Security; 

(e) such Synthetic Security is not a Synthetic Security whose exposure is to a credit default swap with, or 

purchasing a credit linked note, from a protection buyer in relation to a pool of corporate names and at 

the same time such protection buyer also provides protection through single-name credit default swaps 

or portfolio credit default swaps which are in relation to that pool or corporate names or a bespoke 

synthetic collateralised debt obligation; 

(f) 

such Synthetic Security will not require the Issuer to make any payment to the Synthetic Security 

Obligor after the initial purchase thereof by the Issuer other than the delivery or payment to the 

Synthetic Security Obligor of any Synthetic Security Collateral pledged in accordance with the terms 

thereof and provided that any obligations of the Issuer thereunder are limited to such Synthetic Security 

Collateral; 

(g) where such Synthetic Security is unfunded, it contains limited recourse provisions (with recourse being 

to the Synthetic Security Collateral only) and non-petition provision in each case (save as provided in 

this paragraph (f)) in substantially the same form as those set out in Condition 4(c) (Limited Recourse 

and Non-Petition); 

(h) there is only one Reference Obligation comprised in such Synthetic Security and the deliverable 

obligation pursuant to such Synthetic Security will be the Reference Obligation. 

For the purposes of the Coverage Tests, the Reinvestment Criteria, the Reinvestment OC Test and the 

Collateral Quality Tests, a Synthetic Security shall be included as a Collateral Debt Security having the 

characteristics of the Synthetic Security and not of the related Reference Obligation, unless otherwise 

specified by Fitch and S&P. 

For the purposes of determining the Fitch Rating or S&P Rating of a Synthetic Security, the Synthetic 

Security shall have the rating derived by application of the definitions of “Fitch Rating” (unless otherwise 

specified by Fitch) or “S&P Rating”. 

A Synthetic Security shall be included as a Collateral Debt Security having the relevant characteristics of 

the related Reference Obligation (and the issuer of such Synthetic Security shall be deemed to be the issuer 

93

of the related Reference Obligation) and not of the Synthetic Security, unless otherwise specified by Fitch 

and S&P. 

The interest rate or spread of a floating rate Synthetic Security, expressed as a percentage and annualised, 

which is the current stated interest rate or, as the case may be, periodic spread over EURIBOR, or LIBOR if 

denominated in Sterling, scheduled to be received by the Issuer from the related Synthetic Security Obligor. 

The entry into any Synthetic Security will be subject to Rating Agency Confirmation. At the time Rating 

Agency Confirmation is given, the Rating Agencies shall also confirm whether they agree with the Issuer’s 

designation of the Synthetic Security entered into or acquired as a Bank Loan, a Mezzanine Loan, a Second 

Lien Loan, a Special Debt Security or a CLO Security. 

“Synthetic Security Collateral” means any assets which are Eligible Investments which may be sold at 

any time without market risk (provided that if any credit protection payments to be paid under the Synthetic 

Securities can only be paid on the maturity date of such Eligible Investments then such Eligible Investments 

may bear market risk), comprising collateral required to be delivered by the Issuer as security for its 

obligations to any Synthetic Security Obligor under any Synthetic Security pursuant to the terms thereof. 

References to the price payable upon the acquisition of or entry into a Synthetic Security acquired or 

entered into by the Issuer on an unfunded basis shall be deemed to be the aggregate principal amount of 

Synthetic Security Collateral required to be delivered by the Issuer to the applicable Synthetic Security 

Obligor. 

“Synthetic Security Obligor” means any counterparty required to make payments to the Issuer under a 

Synthetic Security pursuant to the terms of such Synthetic Security or any guarantor of any such entity or, 

in the case of a Synthetic Security that represents an ownership interest in one or more assets held by the 

issuer of such Synthetic Security, any entity required to make payments on any such asset, provided that in 

the case of any Synthetic Security which is a derivatives transaction, such counterparty has the regulatory 

capacity as a matter of Dutch law to enter in such derivatives transactions with Dutch residents. 

“TARGET Business Day” means any day on which the TARGET System is open for business. 

“Target Date” means the earlier of (a) 18 January 2008 and (b) the date specified as such by the Collateral 

Manager in accordance with the terms of the Collateral Management Agreement. 

“Target Date Rating Downgrade” means either (a)(i) the initial ratings of the Senior Notes and the other 

Rated Notes are downgraded or withdrawn by the Rating Agencies or (ii) either of the Rating Agencies 

notifies the Issuer or the Collateral Manager on behalf of the Issuer that such Rating Agency intends to 

downgrade or withdraw its initial ratings of the Senior Notes and the other Rated Notes, in each case, upon 

request for confirmation thereof to the Rating Agencies by the Collateral Manager, acting on behalf of the 

Issuer, following the Target Date; or (b) the Rating Agencies do not provide a Rating Agency Confirmation 

with respect to the plan of acquisition of the Collateral Debt Securities provided by the Collateral Manager 

following the failure to meet the Target Date Rating Requirements on the Target Date by the immediately 

following Determination Date. 

“Target Date Rating Requirements” means as of the Target Date, (a) each of the Collateral Quality Tests, 

the Coverage Tests and paragraph (c) of the Eligibility Criteria are satisfied on such date; and (b) the 

aggregate of the Principal Balances of the Collateral Debt Securities is at least 99.5 per cent. of the Target 

Par Amount, and for the purposes of determining the aggregate Principal Balances of the Collateral Debt 

Securities in connection with the Target Par Amount, any prepayments or repayments of the Collateral Debt 

Securities after the Issue Date shall be disregarded and the Sterling amounts of any Sterling Collateral Debt 

Securities shall be converted into Euro at the Issue Date Spot Rate. 

“Target Par Amount” means €300,000,000. 

“TARGET System” means the Trans European Automated Real Time Gross Settlement Express Transfer 

System (or, if such clearing system ceases to be operative, such other clearing system (if any) determined 

by the Trustee to be a suitable replacement). 

A “Tax Event” shall occur if (a) the Issuer satisfies the Trustee that it has or will, on the next Payment 

Date, become obliged to withhold or deduct for or on account of tax in The Netherlands from any payments 

94

on or in respect of the Notes or any Class of Notes or (b) a taxing authority or court of competent 

jurisdiction renders a determination that the Issuer is engaged in a trade or business in the United Kingdom 

and in both instances, the Issuer has certified to the Trustee that a substitution, relocation and/or other 

reasonable measures would fail to remedy such event or cannot be implemented by the next Payment Date 

to remedy such tax event. 

“Total Commitments” has the meaning ascribed thereto in the Class A1A Note Purchase Agreement. 

“Total Outstandings” has the meaning ascribed thereto in the Class A1A Note Purchase Agreement. 

“Trading Gains” means in respect of any Collateral Debt Security which is repaid, prepaid, redeemed or 

sold, the excess (if any) of (a) the Principal Proceeds received in respect thereof over (b) the purchase price 

thereof paid by or on behalf of the Issuer for such Collateral Debt Security, in each case net of (i) any 

expenses incurred in connection with any repayment, prepayment, redemption or sale thereof, and (ii) in the 

case of a sale of such Collateral Debt Security, any interest accrued but not paid thereon. 

“Transaction Documents” means the Trust Deed, each Note, the Agency Agreement, the Subscription and 

Placement Agreement, the Collateral Acquisition Agreements, the Collateral Management Agreement, the 

Collateral Administration Agreement, the Management Agreement, the Bank Account Agreement, the 

Hedge Agreements, the Class A1A Note Purchase Agreement, the Liquidity Facility Agreement, any 

Additional Security Documents, any Securities Lending Agreements, the Euroclear Pledge Agreement and 

any other agreement or deed entered into pursuant to any of them or agreed between the relevant parties to 

be a Transaction Document for the purposes of this definition. 

“Trustee Fees” means the fees and expenses and other amounts payable to the Trustee pursuant to the Trust 

Deed from time to time plus any VAT due and payable in respect thereof. 

“Underlying Instrument” means the trust deed, indenture, fiscal agency agreement or other agreement or 

instrument pursuant to which a Collateral Debt Security has been issued or created and each other 

agreement that governs the terms of, or secures the obligations represented by, such Collateral Debt 

Security or under which the holders or creditors under such Collateral Debt Security are the beneficiaries. 

“Undrawn Amount” means with respect to the Class A1A Notes, an amount equal to the greater of (a) 

zero and (b) the difference between the Total Commitments and the Total Outstandings. 

“Uninvested Proceeds” means, at any time, the net proceeds received by the Issuer on the Issue Date from 

the issuance of the Notes to the extent such proceeds are held in cash or Eligible Investments, have not 

previously been invested in Collateral Debt Securities and have not previously become Euro Principal 

Proceeds pursuant to paragraph (c) of the definition of “Euro Principal Proceeds”. 

“Unscheduled Principal Proceeds” means, Sterling Unscheduled Principal Proceeds or Euro Unscheduled 

Principal Proceeds (as applicable). 

“VAT” means value added tax as provided for in the Value Added Tax Act 1994 and any tax similar or 

equivalent to value added tax imposed by any country other than the United Kingdom and any similar or 

turnover tax replacing or introduced in addition to any of the same. 

2. Form and Denomination, Title and Transfer 

(a) Form and Denomination: Each Class of Notes (other than the Class A1A Notes) will initially be 

represented by one or more Global Notes in fully registered form, without interest coupons or principal 

receipts attached, in the applicable Minimum Denomination and integral multiples in excess thereof of 

the applicable Authorised Denomination. A Definitive Note will be issued to each Noteholder in 

exchange for its beneficial interest in a Global Note only in the limited circumstances set forth in the 

Trust Deed. Each Definitive Note other than a Class A1A Note will be numbered serially with an 

identifying number which will be recorded in the register (the “Register”) which the Issuer shall 

procure will be kept by the Registrar. 

Each Class A1A Note issued pursuant to Regulation S will be represented by a Class A1A Regulation 

S Definitive Note in fully registered form and each Class A1A Note issued pursuant to Rule 144A will 

95

e represented by a Class A1A Rule 144A Definitive Note, without interest coupons, or principal 

receipts attached, in the applicable Minimum Denomination and integral multiplies in excess thereof of 

the applicable Authorised Denomination will be numbered serially with an identifying number which 

will be recorded in the Capital Commitment Register which the Issuer shall procure will be kept by the 

Capital Commitment Registrar. 

(b) Title to the Registered Notes: Title to the Notes (other than the Class A1A Notes) passes upon 

registration of transfers in respect thereof in the Register in accordance with the provisions of the 

Agency Agreement and the Trust Deed and in the case of the Class A1A Notes, passes upon 

registration of transfers in respect thereof in the Capital Commitment Register in accordance with the 

provisions of the Agency Agreement, the Trust Deed and the Class A1A Note Purchase Agreement, 

which Capital Commitment Register will be held outside the United Kingdom. Notes will be 

transferable only on the books of the Issuer and its agents. The registered holder of any Note will 

(except as otherwise required by law) be treated as its absolute owner for all purposes (whether or not it 

is overdue and regardless of any notice of ownership, trust or any interest in it, any writing on it, or its 

theft or loss) and no person will be liable for so treating the holder. An up to date copy of the Register 

and the Capital Commitment Register shall be held at the registered office of the Issuer and if there are 

any inconsistencies between the copy of the Register held by the Registrar or the Capital Commitment 

Register held by the Capital Commitment Registrar and the copy of the Register or Capital 

Commitment Register held at the registered office of the Issuer, the former shall prevail. 

(c) Transfer: Subject to the other conditions set forth herein, transfers of a Global Note shall be limited to 

transfers of such Global Note, in whole, but not in part, to nominees of Euroclear, Clearstream, 

Luxembourg, or DTC (the “Clearing Systems”) or to a successor of the Clearing Systems or such 

successor’s nominee. Definitive Notes may be transferred in whole or in part in nominal amounts 

equal to the applicable Minimum Denomination and integral multiples of the applicable Authorised 

Denomination in excess thereof only upon the surrender, at the specified office of the Registrar or any 

Transfer Agent, of the Definitive Note(s) to be transferred, with the form of transfer endorsed on such 

Definitive Note duly completed and executed and together with the relevant form of transfer certificate 

as specified in the Trust Deed and such other evidence as the Registrar or Transfer Agent may 

reasonably require. In the case of a transfer of part only of a holding of Notes represented by one 

Definitive Note, a new Definitive Note will be issued to the transferee in respect of the part transferred 

and a further new Definitive Note in respect of the balance of the holding not transferred will be issued 

to the transferor. The Class A1A Definitive Notes may only be transferred subject to and in accordance 

with the requirements of the Class A1A Note Purchase Agreement including the requirement that the 

transferee meets the Rating Requirements. 

(d) Delivery of New Certificates: Each new Definitive Note to be issued pursuant to Condition 2(c) 

(Transfer) will be available for delivery within five Business Days of receipt of such form of transfer or 

of surrender of an existing Definitive Note upon partial redemption. Delivery of new Definitive 

Note(s) shall be made at the specified office of the Transfer Agent or of the Registrar, as the case may 

be, to whom delivery or surrender shall have been made or, at the option of the holder making such 

delivery or surrender as aforesaid and as specified in the form of transfer or otherwise in writing, shall 

be mailed by pre-paid first class post at the risk of the holder entitled to the new Definitive Note to such 

address as may be so specified. In this Condition 2(d) (Delivery of New Certificates), “Business Day” 

means a day, other than a Saturday or Sunday, on which banks are open for business in the place of the 

specified office of the Transfer Agent and the Registrar. 

(e) Transfer Free of Charge: Transfer of Global Notes and Definitive Notes in accordance with these 

Conditions on registration or transfer will be effected without charge by or on behalf of the Issuer, the 

Registrar, the Capital Commitment Registrar or the Transfer Agents, but upon payment (or the giving 

of such indemnity as the Issuer, the Registrar, the Capital Commitment Registrar or the relevant 

Transfer Agent may require in respect thereof) of any tax or other governmental charges which may be 

imposed in relation to it. 

(f) 

Closed Periods: No Noteholder may require the transfer of a Note to be registered (i) during the period 

of 15 calendar days ending on the due date for redemption (in full) of that Note or (ii) during the period 

of 15 calendar days ending on (and including) any Payment Date. 

(g) Regulations Concerning Transfer and Registration: All transfers of Notes (other than the Class A1A 

Notes) and entries on the Register will be made subject to the detailed regulations concerning the 

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3. Status 

transfer of Notes set forth in the Trust Deed and Agency Agreement, including without limitation, that 

a transfer of Notes in breach of certain of such regulations may result in such Notes being required to 

be sold. All transfers of the Class A1A Notes and entries on the Capital Commitment Register will be 

made subject to the regulations concerning transfer of Notes set forth in the Class A1A Note Purchase 

Agreement, the Trust Deed and the Agency Agreement. The regulations may be changed by the Issuer 

in any manner which is reasonably required by the Issuer (with the consent of the Trustee) to reflect 

changes in legal requirements or in any other manner which, in the opinion of the Issuer (with the 

consent of the Trustee), is not prejudicial to the interests of the holders of the relevant Class of Notes. 

A copy of the current regulations will be available at the office of the Irish Paying Agent, the Registrar 

or, as the case may be, the Capital Commitment Registrar and will be sent by the Registrar or, as the 

case may be, the Capital Commitment Registrar to any Noteholder who so requests. In addition, each 

investor acquiring an interest in a Global Note will be deemed to have represented to the Issuer and the 

Trustee that such investor will not transfer such interest except in compliance with the transfer 

restrictions set forth in the Trust Deed. 

(a) Status: The Notes of each Class constitute direct, general, secured, unconditional obligations of the 

Issuer, recourse in respect of which is limited in the manner described in Condition 4(c) (Limited 

Recourse and Non-Petition). The Notes of each Class are secured in the manner described in 

Condition 4 (Security) and, within each Class, shall at all times rank pari passu and without any 

preference amongst themselves. 

(b) Relationship Among the Classes: The Notes of each Class are constituted by the Trust Deed and 

secured on the Collateral as further described in the Trust Deed. Payments of principal and interest on 

each Class of Notes will rank pari passu in right of payment amongst such Class of Notes. Payments 

of interest and principal of the Notes will be made in accordance with the order of priority of payments 

in this Condition 3 (Status) or Condition 11 (Enforcement). 

Save to the extent provided otherwise in these Conditions: 

(i) no amount of principal (for the avoidance of doubt, excluding Class B Deferred Interest) in respect 

of the Class B Notes shall become due and payable until redemption or repayment, as applicable, 

in full of the Senior Notes; 

(ii) no amount of principal (for the avoidance of doubt, excluding Class C Deferred Interest) in respect 

of the Class C Notes shall become due and payable until redemption or repayment, as applicable, 

in full of the Senior Notes and the Class B Notes; 

(iii) no amount of principal (for the avoidance of doubt, excluding Class D Deferred Interest) in respect 

of the Class D Notes shall become due and payable until redemption or repayment, as applicable, 

in full of the Senior Notes, the Class B Notes and the Class C Notes; 

(iv) no amount of principal (for the avoidance of doubt, excluding Class E Deferred Interest) in respect 

of the Class E Notes shall become due and payable until redemption or repayment, as applicable, 

in full of the Senior Notes, the Class B Notes, the Class C Notes and the Class D Notes; and 

(v) no amount of principal in respect of the Class N Notes shall become due and payable or be paid 

until redemption or repayment, as applicable, in full of each of the other Classes of Notes. 

(c) Priorities of Payment: The Collateral Administrator shall, on behalf of the Issuer, on each Payment 

Date (save for any Redemption Date applicable to the redemption of the Notes pursuant to Condition 

7(b) (Optional Redemption)) prior to the delivery of an Enforcement Notice disburse Interest Proceeds 

and Principal Proceeds in accordance with the Priorities of Payment in paragraphs (i) and (iii) below 

respectively, and on each other date (save for any Redemption Date) prior to the delivery of an 

Enforcement Notice disburse Interest Proceeds and Principal Proceeds in accordance with the Priorities 

of Payments in paragraphs (ii) and (iv) below, respectively, in each case subject to the provisions of 

paragraph (v) below and as calculated by the Collateral Administrator pursuant to the terms of the 

Collateral Administration Agreement: 

(i) Application of Interest Proceeds on Payment Dates: Euro Interest Proceeds and Sterling Interest 

Proceeds in respect of a Due Period (to the extent not paid as set out in Condition 3(c)(ii) 

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(Application of Interest Proceeds between Payment Dates)) shall be paid on the Payment Date 

immediately following such Due Period as follows (with payments to be made from Euro Interest 

Proceeds for amounts denominated in Euro and payments to be made from Sterling Interest 

Proceeds for amounts denominated in Sterling in each case subject to Condition 3(c)(v) (FX 

Conversion)): 

(A) 

(B) 

(C) 

(D) 

(E) 

(F) 

to the payment of taxes owing and unpaid by the Issuer (other than Dutch corporate 

income tax in relation to the amounts equal to the minimum profit referred to below), as 

certified by an Authorised Officer of the Issuer to the Trustee, if any (save for any value 

added tax payable in respect of any Collateral Management Fee); and to the payment of 

amounts equal to the minimum profit to be retained by the Issuer for Dutch tax purposes, 

for deposit into the Issuer Dutch Account from time to time, if any; 

to the payment of accrued and unpaid Senior Trustee Fees payable to the Trustee pursuant 

to the Trust Deed; 

to the payment of Senior Administrative Expenses; 

to the payment, on a pro rata basis, of (i) any Hedge Payment Amounts; and (ii) any 

Liquidity Payments due and payable to the Liquidity Facility Provider under the Liquidity 

Facility Agreement (other than those amounts payable under the Liquidity Facility 

Agreement which are to be treated as Administrative Expenses); 

to the Collateral Manager of the Base Collateral Management Fee due and payable on 

such Payment Date; 

to the payment on a pro rata basis of: 

(1) the Class A1A Interest Amount due and payable on the Class A1A Notes in respect of the 

Class A1A Notes Interest Period ending on such Payment Date, together with any unpaid 

interest due and payable under the Class A1A Notes and any amounts in respect of the 

Commitment Fee and Break Costs due and payable by the Issuer under the Class A1A 

Notes (but excluding any Class A1A Increased Margin); and 

(2) the Interest Amounts due and payable on the Class A1B Notes in respect of the Interest 

Accrual Period ending on such Payment Date; 

(G) 

(H) 

(I) 

(J) 

(K) 

(L) 

to the payment of the Interest Amounts due and payable on the Class A2 Notes in respect 

of the Interest Accrual Period ending on such Payment Date pro rata; 

if there is a Sterling Funding Mismatch, after taking account of the amounts payable 

under Condition 3(c)(i)(A) to (G) (inclusive), an amount equal to 75 per cent. of the 

remaining Interest Proceeds in repayment of the Sterling Drawings (on a pro rata basis), 

in whole or in part, to the extent necessary to cure any Sterling Funding Mismatch; 

in the event that any of the Senior Coverage Tests (as calculated by the Collateral 

Administrator) are not satisfied on the immediately preceding Determination Date, in 

redemption or repayment, as applicable, of the Senior Notes, in whole or in part, in 

accordance with the Senior Notes Redemption Method, to the extent necessary to cause 

each of the Senior Coverage Tests to be met if recalculated following such redemption or 

repayment; 

to the payment of the Interest Amounts due and payable on the Class B Notes in respect 

of the Interest Accrual Period ending on such Payment Date (but excluding any Class B 

Deferred Interest) pro rata; 

to the payment of the Class B Deferred Interest pro rata; 

in the event that the Class B Overcollateralisation Ratio Test (as calculated by the 

Collateral Administrator) is not satisfied on the immediately preceding Determination 

Date, in redemption or repayment, as applicable, of the Senior Notes, in whole or in part, 

in accordance with the Senior Notes Redemption Method and following such redemption 

98

or repayment in full, to redeem the Class B Notes (on a pro rata basis), in whole or in 

part, in each case, to the extent necessary to cause the Class B Overcollateralisation Ratio 

Test to be met if recalculated following such redemption or repayment; 

(M) 

(N) 

(O) 

(P) 

(Q) 

(R) 

(S) 

(T) 

(U) 

(V) 

to the payment of the Interest Amounts due and payable on the Class C Notes in respect 

of the Interest Accrual Period ending on such Payment Date (other than the Class C 

Deferred Interest) pro rata; 

to the payment of the Class C Deferred Interest pro rata; 

in the event that the Class C Overcollateralisation Ratio Test (as calculated by the 





part, and following such redemption in full, to redeem the Class C Notes (on a pro rata 

basis), in whole or in part, in each case, to the extent necessary to cause the Class C 

Overcollateralisation Ratio Test to be met if recalculated following such redemption or 

repayment; 

to the payment of the Interest Amounts due and payable on the Class D Notes in respect 

of the Interest Accrual Period ending on such Payment Date (other than Class D Deferred 

Interest) pro rata; 

to the payment of the Class D Deferred Interest pro rata; 

in the event that the Class D Overcollateralisation Ratio Test (as calculated by the 






basis), in whole or in part, and following such redemption in full, to redeem the Class D 

Notes (on a pro rata basis), in whole or in part, in each case, to the extent necessary to 

cause the Class D Overcollateralisation Ratio Test to be met if recalculated following 

such redemption or repayment; 

to the payment of the Interest Amounts due and payable on the Class E Notes in respect 

of the Interest Accrual Period ending on such Payment Date (other than Class E Deferred 

Interest) pro rata; 

to the payment of the Class E Deferred Interest pro rata; 

in the event that the Class E Overcollateralisation Ratio Test (as calculated by the 






basis), in whole or in part, and following such redemption in full, to redeem the Class D 

Notes (on a pro rata basis), in whole or in part, and following such redemption in full, to 

redeem the Class E Notes (on a pro rata basis), in whole or in part, in each case, to the 

extent necessary to cause the Class E Overcollateralisation Ratio Test to be met if 

recalculated following such redemption or repayment; 

to the payment of any amount required to be paid to (a) the Euro Expense Account to 

increase the credit balance thereof to €50,000 or such lesser amount as determined by the 

Collateral Manager and (b) the Sterling Expense Account to increase the credit balance 

thereof to £20,000 or such lesser amount as determined by the Collateral Manager, 

provided that no such payment will be made if the Payment Date is also the Maturity 

Date; 

99

(W) 

(X) 

(Y) 

(Z) 

(AA) 

(BB) 

(CC) 

(DD) 

(EE) 

(FF) 

(GG) 

(HH) 

(II) 

on any Payment Date following the Target Date, in the event of the occurrence of a 

Target Date Rating Downgrade which is continuing on the Business Day prior to such 

Payment Date, to redeem or repay, as applicable, the Senior Notes, in whole or in part, in 

accordance with the Senior Notes Redemption Method and following such redemption or 

repayment in full, to redeem the Class B Notes (on a pro rata basis), in whole or in part, 

and following such redemption in full, to redeem the Class C Notes (on a pro rata basis), 

in whole or in part, and following such redemption in full, to redeem the Class D Notes 

(on a pro rata basis), in whole or in part, and following such redemption in full, to 

redeem the Class E Notes (on a pro rata basis), in whole or in part, or, in each case if 

earlier, until the Rating Agencies confirm in writing that each such rating is reinstated; 

to the payment, if applicable, to any Replacement Collateral Manager of the Replacement 

Collateral Manager Subordinated Fee due and payable on such Payment Date and 

thereafter, to the payment of any Replacement Collateral Manager Subordinated Fee due 

and payable but not paid pursuant to this Condition 3(c)(i)(X) on any prior Payment Date; 

to the payment, on a pro rata basis, of accrued and unpaid Class A1A Increased Margin 

in respect of the Class A1A Notes; 

during the Reinvestment Period, in the event that the Reinvestment OC Test (as 

calculated by the Collateral Administrator) is not satisfied on the immediately preceding 

Measurement Date, to transfer to the Principal Collection Account the amount required to 

cause the Reinvestment OC Test (as calculated by the Collateral Administrator) to be met 

if recalculated following such transfer; 

after the end of Reinvestment Period, in the event that the Reinvestment OC Test (as 

calculated by the Collateral Administrator) is not satisfied on the immediately preceding 

Measurement Date, to redeem or repay, as applicable, the Senior Notes, in whole or in 

part, in accordance with the Senior Notes Redemption Method and following such 

redemption or repayment in full, to redeem the Class B Notes (on a pro rata basis), in 

whole or in part, and following such redemption in full, to redeem the Class C Notes (on a 

pro rata basis), in whole or in part, and following such redemption in full, to redeem the 

Class D Notes (on a pro rata basis), in whole or in part, and following such redemption in 

full, to redeem the Class E Notes (on a pro rata basis), in whole or in part, in each case, to 

the extent necessary to cause the Reinvestment OC Test to be met if recalculated 

following such redemption or repayment; 

at the discretion of the Collateral Manager, during the Reinvestment Period, to transfer 

such amount as the Collateral Manager may in its discretion determine to the Additional 

Collateral Account or the Sterling Additional Collateral Account, such amount to be 

designated for reinvestment in Additional Collateral Debt Securities; 

to the payment of Subordinated Trustee Fees (if any); 

to the payment of Subordinated Administrative Expenses (if any); 

to the payment of any Subordinated Collateral Management Fee due and payable; 

to the payment of any Subordinated Hedge Termination Payments; 

to the payment of any Collateral Manager Termination Amount; 

at the discretion of the Collateral Manager, save for upon the Payment Date on which the 

Class N Notes are to be redeemed and paid in full, 50 per cent. of the remaining Interest 

Proceeds in payment into the Collateral Enhancement Account up to a maximum 

aggregate amount (taking into account all payments into the Collateral Enhancement 

Account on any prior Payment Date) of €5,000,000 or its equivalent in Sterling; 

to the payment, on a pro rata basis, to the Class N Noteholders, until the Class N Notes 

have achieved an Internal Rate of Return of 12 per cent. (taking into account all prior 

distributions to the Class N Noteholders); 

100

(JJ) 

(KK) 

after taking account of the amounts payable under Condition 3(c)(i)(A) to (II) (inclusive) 

and if the Incentive Management Fee Hurdle Rate is achieved, an amount equal to 15 per 

cent. of the remaining Interest Proceeds to the Collateral Manager by way of an incentive 

collateral management fee (the “Incentive Collateral Management Fee”); and 

any remaining Interest Proceeds, on a pro rata basis, to the Class N Noteholders as 

interest. 

(ii) Application of Interest Proceeds between Payment Dates: Euro Interest Proceeds and Sterling 

Interest Proceeds shall be paid as follows on any day other than a Payment Date to the extent that 

there are available amounts to make such payments in the Interest Collection Account or Sterling 

Interest Account (after taking account, in respect of any day between the end of a Due Period and 

the immediately succeeding Payment Date, of amounts required to be paid on the immediately 

succeeding Payment Date out of the Interest Collection Account or Sterling Interest Account), in 

the following order of priority (with payments to be made from Euro Interest Proceeds for amounts 

denominated in Euro and payments to be made from Sterling Interest Proceeds for amounts 

denominated in Sterling in each case subject to Condition 3(c)(v)(FX Conversion)): 

(A) 

(B) 

(C) 

to credit the Liquidity Payment Accounts (up to an amount equal to the outstanding 

principal amount of any Liquidity Drawings and accrued interest thereon as calculated 

under the Liquidity Facility Agreement in order to permit repayment of any Liquidity 

Drawings, accrued interest thereon and any other amounts in respect thereof either 

between Payment Dates or on the next Payment Date); 

to the extent that amounts standing to the credit of the Euro Expense Account or Sterling 

Expense Account from time to time are not sufficient, in payment by the Collateral 

Administrator on behalf of the Issuer of any Senior Trustee Fees and Senior 

Administrative Expenses denominated in Euro, or as applicable, Sterling, which have 

accrued and become payable prior to any Payment Date, to the extent applicable, upon 

receipt of invoices therefor from the relevant creditor; and 

to the payment of any Hedge Payment Amounts in respect of any Hedge Transactions, in 

respect of each period from (and excluding) the immediately preceding Payment Date to 

(and including) the immediately succeeding Payment Date. 

(iii) Application of Principal Proceeds on Payment Dates: Principal Proceeds in respect of a Due 

Period (to the extent not paid as set out in Condition 3(c)(iv) (Application of Principal Proceeds 

between Payment Dates)) shall be paid on the Payment Date immediately following such Due 

Period as follows (with (i) payments to be made from Euro Principal Proceeds for amounts 

denominated in Euro and payments to be made from Sterling Principal Proceeds for amounts 

denominated in Sterling, in each case subject to Condition 3(c)(v) (FX Conversion) and (ii) for this 

purpose, amounts standing to the credit of the Euro Principal Reserve Account on the preceding 

Payment Date and the amounts credited to the Euro Principal Reserve Account on the same 

Payment Date pursuant to Condition 3(c)(v) (FX Conversion) and not required to be utilised 

pursuant to Condition 3(c)(v)(D)(3) on such Payment Date being deemed to constitute Principal 

Proceeds): 

(A) 

(B) 

(C) 

to the payment of the amounts referred to in Condition 3(c)(i) (A) to (H) (inclusive) 

above, in each case in the order of priority set out therein, but only to the extent not paid 

in full thereunder; 

after the application of Interest Proceeds pursuant to Condition 3(c)(i)(I) above, in the 

event that any of the Senior Coverage Tests (as calculated by the Collateral 

Administrator) are not satisfied on the immediately preceding Determination Date, in 


accordance with the Senior Notes Redemption Method, to the extent necessary to cause 

each of the Senior Coverage Tests to be met if recalculated following such redemption or 

repayment; 

to the payment of the amounts referred to in Condition 3(c)(i)(J) above, but only to the 

extent not paid in full thereunder; 

101

(D) 

(E) 

(F) 

(G) 

(H) 

(I) 

(J) 

(K) 

(L) 

after the application of Interest Proceeds pursuant to Condition 3(c)(i)(L) above, in the 

event that the Class B Overcollateralisation Ratio Test (as calculated by the Collateral 

Administrator) is not satisfied on the immediately preceding Determination Date, in 




in each case, to the extent necessary to cause the Class B Overcollateralisation Ratio Test 

to be met if recalculated following such redemption or repayment; 

to the payment of the amounts referred to in Condition 3(c)(i)(M) above, but only to the 


after the application of Interest Proceeds pursuant to Condition 3(c)(i)(O) above, in the 

event that the Class C Overcollateralisation Ratio Test (as calculated by the Collateral 






in whole or in part, in each case, to the extent necessary to cause the Class C 

Overcollateralisation Ratio Test to be met if recalculated following such redemption or 

repayment; 

to the payment of the amounts referred to in Condition 3(c)(i)(P) above, but only to the 


after the application of Interest Proceeds pursuant to Condition 3(c)(i)(R) above, in the 

event that the Class D Overcollateralisation Ratio Test (as calculated by the Collateral 







(on a pro rata basis), in whole or in part, in each case, to the extent necessary to cause the 

Class D Overcollateralisation Ratio Test to be met if recalculated following such 

redemption or repayment; 

to the payment of the amounts referred to in Condition 3(c)(i)(S) above, but only to the 


after the application of Interest Proceeds pursuant to Condition 3(c)(i)(U) above, in the 

event that the Class E Overcollateralisation Ratio Test (as calculated by the Collateral 








redeem the Class E Notes (on a pro rata basis), in whole or in part, in each case, to the 

extent necessary to cause the Class E Overcollateralisation Ratio Test to be met if 

recalculated following such redemption or repayment; 

to the payment of the amounts referred to in Condition 3(c)(i)(V) above, but only to the 


on any Payment Date following the Target Date, in the event of the occurrence of a 

Target Date Rating Downgrade which is continuing on the Business Day prior to such 

Payment Date, to redeem or repay, as applicable, the Senior Notes, in whole or in part, in 


102

epayment in full, to redeem the Class B Notes (on a pro rata basis), in whole or in part, 




redeem the Class E Notes (on a pro rata basis), in whole or in part or, in each case if 

earlier, until the Rating Agencies confirm in writing that each such rating is reinstated; 

(M) 

(N) 

(O) 

(P) 

(Q) 

(R) 

(S) 

(T) 

(U) 

(V) 

(W) 

(X) 

(Y) 

(Z) 

during the Reinvestment Period (and after the expiry of the Reinvestment Period in the 

case of certain Unscheduled Principal Proceeds permitted to be reinvested in Additional 

Collateral Debt Securities pursuant to the terms of the Collateral Management Agreement 

and Sale Proceeds from Credit Improved Securities, in each case, designated for 

reinvestment in the following Due Period), save for upon the Payment Date on which the 

Notes are to be redeemed or repaid in full, pari passu (1) to the purchase of Additional 

Collateral Debt Securities satisfying the Eligibility Criteria, the Reinvestment Criteria and 

the Additional Reinvestment Criteria as applicable, (2) to payment, where so obliged, of 

the cost of any Replacement Hedge Agreement and (3) to payment of an amount at the 

discretion of the Issuer (following recommendation from the Collateral Manager) to the 

Additional Collateral Account or the Sterling Additional Collateral Account to be 

designated for reinvestment in Additional Collateral Debt Securities; 

during the Reinvestment Period, to the extent such funds are not required to be paid in 

accordance with Condition 3(c)(iii)(A) to (M) (inclusive) above, at the option of the 

Collateral Manager on behalf of the Issuer, to the repayment of amounts outstanding 

under the Class A1A Notes; 

to payment in an amount equal to the Special Redemption Amount (if any) applicable to 

such Payment Date if it is a Special Redemption Date pursuant to Condition 7(d) 

(Redemption at the Option of the Collateral Manager) to redeem or repay, as applicable, 

the Senior Notes in accordance with the Senior Notes Redemption Method, in whole or in 

part, and following such redemption or repayment in full, to redeem the Class B Notes 


redeem the Class C Notes (on a pro rata basis), in whole or in part, and following such 

redemption in full, to redeem the Class D Notes (on a pro rata basis), in whole or in part, 

and following such redemption in full, to redeem the Class E Notes (on a pro rata basis), 

in whole or in part; 

after expiry of the Reinvestment Period, to redeem or repay, as applicable, the Senior 

Notes in full in accordance with the Senior Notes Redemption Method; 

to the payment of the Class B Deferred Interest pro rata; 

after expiry of the Reinvestment Period, to redeem in full the Class B Notes pro rata; 

to the payment of the Class C Deferred Interest pro rata; 

after expiry of the Reinvestment Period, to redeem in full the Class C Notes pro rata; 

to the payment of the Class D Deferred Interest pro rata; 

after expiry of the Reinvestment Period, to redeem in full the Class D Notes pro rata; 

to the payment of the Class E Deferred Interest pro rata; 

after expiry of the Reinvestment Period, to redeem in full the Class E Notes pro rata; 

to the payment of the amounts referred to in Condition 3(c)(i)(X) and (Y) and (CC) to 

(GG) above (inclusive), in each case in the order of priority set out therein, but only to the 


to the payment, on a pro rata basis, to the Class N Noteholders, until the Class N Notes 

have received an Internal Rate of Return of 12 per cent. (taking into account all prior 

distributions to the Class N Noteholders); 

103

(AA) 

(BB) 

after taking account of the amounts payable under Condition 3(c)(iii)(A) to (Z) (inclusive) 

and if the Incentive Management Fee Hurdle Rate is achieved, an amount equal to 15 per 

cent. of the remaining Principal Proceeds to the Collateral Manager by way of Incentive 

Collateral Management Fee; and 

the remaining Principal Proceeds, on a pro rata basis, to the Class N Noteholders. 

As used in these Conditions, “Internal Rate of Return” means, as of any Payment Date, the 

annualised discount rate at which the sum of the discounted values of the following cashflows is 

equal to zero, assuming discounting on the basis of a 360-day year consisting of twelve 30-day 

months: (1) the aggregate principal amount of the Class N Notes on the Issue Date (which amount 

will be deemed to be negative for purposes of this calculation), and (2) each distribution or payment 

on or in respect of the Class N Notes on any prior Payment Date and, to the extent necessary to 

reach the applicable Internal Rate of Return, on the related Payment Date. 

(iv) Application of Principal Proceeds between Payment Dates: Euro Principal Proceeds standing to 

the credit of the Principal Collection Account, the Initial Proceeds Account and the Additional 

Collateral Account and Sterling Principal Proceeds standing to the credit of the Sterling Principal 

Account and the Sterling Additional Collateral Account, shall be paid as follows on any day other 

than a Payment Date to the extent that there are available amounts to make such payments in the 

relevant Accounts (after taking account, in respect of any day between the end of a Due Period and 

the immediately succeeding Payment Date, of amounts required to be paid on the immediately 

succeeding Payment Date out of such Accounts). Payments shall be made from Euro Principal 

Proceeds for amounts denominated in Euro and payments shall be made from Sterling Principal 

Proceeds for amounts denominated in Sterling, in each case subject to 3(c)(v) (FX Conversion) 

though for this purpose, amounts standing to the credit of the Euro Principal Reserve Account on 

the preceding Payment Date (including any amounts credited to the Euro Principal Reserve 

Account on such Payment Date and not otherwise utilised on such Payment Date) shall be deemed 

to constitute Principal Proceeds: 

(A) 

(B) 

(C) 

(D) 

(E) 

at any time up to and including the last day of the Ramp-Up Period in accordance with the 

terms of, and to the extent permitted under, the Collateral Management Agreement, in the 

acquisition of Collateral Debt Securities, in each case satisfying the Eligibility Criteria 

and, if applicable, the Reinvestment Criteria; 

upon receipt of Rating Agency Confirmation with respect to the occurrence of the Target 

Date, all amounts standing to the credit of the Initial Proceeds Account shall be 

transferred in accordance with the Collateral Administration Agreement to the Additional 

Collateral Account or the Sterling Additional Collateral Account, provided that, in the 

event that a Target Date Rating Downgrade has occurred and is continuing, amounts 

standing to the credit of the Initial Proceeds Account will, on the Determination Date 

falling immediately after the Target Date, be transferred to the Euro Payment Account 

and shall constitute Euro Principal Proceeds for the purpose of the application of Principal 

Proceeds pursuant to the Priorities of Payment; 

at any time in accordance with the terms of, and to the extent permitted under, the 

Collateral Management Agreement, in the acquisition of Collateral Debt Securities and/or 

Additional Collateral Debt Securities, in each case satisfying the Eligibility Criteria and, 

if applicable, the Reinvestment Criteria and, if applicable, the Additional Reinvestment 

Criteria or the posting of Synthetic Security Collateral upon the acquisition of any 

Synthetic Securities by the Collateral Manager, acting on behalf of the Issuer; 

during and after the Reinvestment Period, to the extent such funds are not required to be 

paid in accordance with Condition 3(c)(iv)(A) to (C) (inclusive), at the option of the 

Collateral Manager on behalf of the Issuer, to the repayment or prepayment of the Class 

A1A Notes and any accrued interest thereon and Break Costs related thereto; 

on any day on which Class A1B Refinancing Notes are issued, in repayment of all 

amounts outstanding under the Class A1A Notes, together with accrued interest thereon, 

as provided in the Class A1A Note Purchase Agreement; 

104

(F) 

(G) 

at any time, amounts payable by the Issuer upon entry into of a Replacement Hedge 

Agreement in accordance with the Collateral Management Agreement, unless termination 

of the Hedge Agreement under which the relevant Hedge Termination Receipts are 

payable occurs on a Redemption Date, or the Collateral Manager determines not to 

replace the relevant Hedge Agreement and Rating Agency Confirmation is obtained with 

respect to such determination; and 

at any time, to the payment of any Hedge Termination Payment due and payable to a 

Hedge Counterparty under a Hedge Agreement being replaced, as referred to in the 

definition of Hedge Replacement Receipts insofar as it does not exceed the amount of the 

corresponding Hedge Replacement Receipt. 

(v) FX Conversion: For the purposes of each of Conditions 3(c)(i) to (iv) (inclusive) Euro Interest 

Proceeds and Euro Principal Proceeds shall be applied first towards amounts payable in Euro and 

Sterling Interest Proceeds and Sterling Principal Proceeds shall be applied first towards amounts 

payable in Sterling and thereafter: 

(A) 

(B) 

(C) 

any Sterling Interest Proceeds remaining after the application of Condition 3(c)(i)(H) 

shall, with the consent of the Collateral Manager (acting on behalf of the Issuer), to the 

extent that such Sterling Interest Proceeds exceed any Sterling payments which may be 

required to be made under Conditions 3(c)(i), (I), (L), (O), (R) and (U) (as the case may 

be) be converted into Euro to the extent that there is insufficient Euro Interest Proceeds 

then available to meet the same; 

any Euro Interest Proceeds remaining after the application of Condition 3(c)(i)(E) shall, 

with the consent of the Collateral Manager (acting on behalf of the Issuer), be converted 

into Sterling to the extent of any Sterling payments which may be required to be made 

under Conditions 3(c)(i), (H), (I), (L), (O), (R) and (U) (as the case may be) and, in 

respect of which insufficient Sterling Interest Proceeds are then available to meet the 

same; 

any Sterling Principal Proceeds remaining after the application of: 

(1) Condition 3(c)(iii)(A) shall, with the consent of the Collateral Manager (acting on behalf 

of the Issuer) be converted into Euro to the extent of any Euro payments which may be 

required to be made under Condition 3(c)(i)(A) to (F) (inclusive) to the extent not paid 

pursuant to Condition 3(c)(v)(A), following the application of the available Euro Interest 

Proceeds, Sterling Interest Proceeds and Euro Principal Proceeds in respect of the same; 

(2) Conditions 3(c)(iii)(B), (D), (F), (H), or (J) shall, with the consent of the Collateral 

Manager (acting on behalf of the Issuer), be converted into Euro to the extent of any Euro 

payments which may be required to be made under any of Conditions 3(c)(iii)(B), (C), 

(D), (E), (F), (G), (H), (I), (J), or (K) respectively and in the priority set out in Condition 

3(c)(iii) (Application of Principal Proceeds on Payment Dates), in each case following 

the application of the available Euro Principal Proceeds in respect of the same to the 

extent not paid; and 

(3) Condition 3(c)(iii)(P) shall, with the consent of the Collateral Manager (acting on behalf 

of the Issuer), be converted into Euro and deposited in the Euro Principal Reserve 

Account; and 

(D) 

any Euro Principal Proceeds remaining after the application of: 

(1) Condition 3(c)(iii)(A) shall, with the consent of the Collateral Manager (acting on behalf 

of the Issuer), be converted into Sterling to the extent of, and applied in payment of, any 

Sterling payments which may be required to be made under Conditions 3(c)(i)(A) to (H) 

(inclusive) following the application of the available Euro Interest Proceeds, Sterling 

Interest Proceeds and Sterling Principal Proceeds in respect of the same to the extent not 

paid pursuant to Condition 3(c)(v)(B) above; 

(2) Conditions 3(c)(iii) (B), (C), (D), (E), (F), (G), (H), (I), (J), or (K) shall, with the consent 

of the Collateral Manager (acting on behalf of the Issuer), be converted into Sterling to 

105

the extent of any Sterling payments which may be required to be made under any of 

Conditions 3(c)(iii) (B), (D), (F), (H) or (J) respectively and in the priority set out in 

Condition 3(c)(iii) (Application of Principal Proceeds on Payment Dates), in each case 

following the application of the available Sterling Principal Proceeds in respect of the 

same to the extent not paid; and 

(3) Condition 3(c)(iii)(P) shall, with the consent of the Collateral Manager (acting on behalf 

of the Issuer), be deposited in the Euro Principal Reserve Account. 

Any conversion which is required to be made under this Condition 3(c)(v) (FX Conversion) shall 

be made at the Spot Rate or where applicable, in accordance with the hedging procedures as set out 

in the Collateral Management Agreement. 

(d) Class A1A Notes: Any reference to any repayment of the Class A1A Notes or to the redemption of the 

Senior Notes in this Condition 3(c) (Priorities of Payment) shall, for the avoidance of doubt, include (i) 

the cancellation of any Undrawn Amount of the Class A1A Notes and/or (ii) the repayment and 

cancellation of the Total Outstandings of the Class A1A Notes, in each case, as determined pursuant to 

the Class A1A Note Purchase Agreement. 

(e) Non-payment of Amounts: Save in the case of (i) the payment of interest and Commitment Fee on the 

Senior Notes or, following redemption and payment in full of the Senior Notes, the payment of interest 

on the Class B Notes, or, following redemption and payment in full of the Senior Notes and the Class B 

Notes, payment of interest on the Class C Notes, or following redemption and payment in full of the 

Senior Notes, the Class B Notes and the Class C Notes, payment of interest on the Class D Notes, or 

following redemption and payment in full of the Senior Notes, the Class B Notes, the Class C Notes 

and the Class D Notes, payment of interest on the Class E Notes, or (ii) non-payment in full of the 

principal amount of any Class of Notes on any Redemption Date, the failure on the part of the Issuer to 

pay any of the amounts referred to in Conditions 3(c)(i) (Application of Interest Proceeds on Payment 

Dates) or 3(c)(iii) (Application of Principal Proceeds on Payment Dates) to the Noteholders or 

otherwise, by reason solely of the fact that there are insufficient funds standing to the credit of the Euro 

Payment Account or Sterling Payment Account shall not constitute an Issuer Event of Default pursuant 

to Condition 10 (Events of Default). 

Subject always, in the case of Interest Amounts payable in respect of the Class B Notes, Class C Notes, 

Class D Notes and Class E Notes to Condition 6(c) (Deferral of Interest), in the event of non-payment 

of any amounts referred to in Conditions 3(c)(i) (Application of Interest Proceeds on Payment Dates) 

or 3(c)(iii) (Application of Principal Proceeds on Payment Dates) of this Condition on any Payment 

Date (including any Deferred Interest Amount), such amounts shall remain due and shall be payable on 

each subsequent Payment Date (other than any Payment Date which is a Redemption Date) in the 

orders of priority provided for in this Condition. References to the amounts referred to in Conditions 

3(c)(i) (Application of Interest Proceeds on Payment Dates) and 3(c)(iii) (Application of Principal 

Proceeds on Payment Dates) of this Condition shall include any amounts thereof not paid when due in 

accordance with this Condition on any preceding Payment Date. 

(f) 

Determination and Payment of Amounts: The Collateral Administrator will, on each Determination 

Date, calculate the amounts payable on the applicable Payment Date pursuant to Conditions 3(c)(i) 

(Application of Interest Proceeds on Payment Dates) and 3(c)(iii) (Application of Principal Proceeds 

on Payment Dates) and on any other day, calculate the amounts payable pursuant to Conditions 3(c)(ii) 

(Application of Interest Proceeds between Payment Dates) and 3(c)(iv) (Application of Principal 

Proceeds between Payment Dates) and will notify the Trustee of such amounts. The Collateral 

Administrator shall, on behalf of the Issuer, not later than 12.00 noon (London time) on the Business 

Day preceding each Payment Date cause available amounts standing to the credit of the Interest 

Collection Account, the Principal Collection Account, the Sterling Interest Account, the Sterling 

Principal Account, the Euro Principal Reserve Account, the Euro Expense Account and the Sterling 

Expense Account to the extent required to pay the amounts referred to in paragraphs (i) and (iii) of 

Condition 3(c) (Priorities of Payment) which are payable on such Payment Date to be transferred to the 

Euro Payment Account or, as the case may be, the Sterling Payment Account. The Collateral 

Administrator shall, on behalf of the Issuer, other than on any Payment Date, cause available amounts 

standing to the credit of the Collection Accounts, the Initial Proceeds Account, the Additional 

Collateral Account and the Sterling Additional Collateral Account to the extent required to pay the 

amounts referred to in paragraphs (ii), and (iv) of Condition 3(c) (Priorities of Payments) which are 

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due and payable to be paid to the person entitled to such payment. The Collateral Administrator will, 

on each Determination Date, notify the Trustee of any amount payable on the applicable Payment Date 

to the Class N Noteholders from amounts standing to the credit of the Collateral Enhancement Account 

and shall procure that the relevant amounts be paid to the Class N Noteholders on such Payment Date. 

(g) De Minimis Amounts: The Collateral Administrator may, in its absolute discretion, adjust the amounts 

required to be applied in payment of principal on any Class of Notes from time to time pursuant to the 

Priorities of Payment so that the amount to be so applied in respect of each such Note is a whole 

amount, not involving any fraction or, at the discretion of the Collateral Administrator, a cent of a Euro 

or a pence of a pound Sterling. 

(h) Publication of Amounts: The Collateral Administrator will cause details as to the amounts of interest 

and principal paid and any amounts of interest payable but not paid on each Payment Date in respect of 

the Notes to be notified to the Trustee, the Registrar, the Paying Agents and the Irish Stock Exchange 

by no later than 11.00 am (London time) on the Business Day following the applicable Determination 

Date and the Principal Paying Agent shall procure that details of such amounts are notified to the 

Noteholders of each Class in accordance with Condition 16 (Notices) as soon as possible after receipt 

of notification thereof by the Principal Paying Agent in accordance with the above but in no event later 

than (to the extent applicable) the second Business Day after the last day of the applicable Due Period. 

(i) 

(j) 

Notifications to be Final: All notifications, opinions, determinations, certificates, quotations and 

decisions given, expressed, made or obtained for the purposes of the provisions of this Condition will 

(in the absence of wilful default, bad faith or manifest error) be binding on the Issuer, the Collateral 

Manager, the Trustee, the Registrar, the Paying Agents, the Transfer Agents, all Noteholders and the 

other Secured Parties and (in the absence as referred to above) no liability to the Issuer or the 

Noteholders shall attach to the Collateral Administrator in connection with the exercise or non-exercise 

by it of its powers, duties and discretions under this Condition. 

Accounts: The Issuer shall, prior to the Issue Date, establish the Accounts (other than the Stand-by 

Account and any other account which may be required pursuant to any Hedge Agreements entered after 

the Issue Date) with the Account Bank. 

The Account Bank shall at all times be a financial institution (a) which is not resident in The 

Netherlands but which has the necessary regulatory capacity to perform the services required of it in 

The Netherlands and (b) which has a short term senior unsecured and unguaranteed debt rating of at 

least “F1” from Fitch and “A-1+” from S&P. In the event that the short term senior unsecured and 

unguaranteed debt of the Account Bank is rated below “F1” by Fitch or “A-1+” by S&P or its short 

term senior unsecured and unguaranteed debt rating is withdrawn by either Fitch or S&P the Issuer 

shall use reasonable endeavours to procure that a replacement Account Bank, which is acceptable to the 

Trustee, is appointed whose short term senior unsecured and unguaranteed debt is rated not less than 

“F1”, by Fitch and “A-1+” from S&P in accordance with the provisions of the Bank Account 

Agreement. 

(k) Euro: If the United Kingdom adopts the Euro as its lawful currency, the Trustee, the Collateral 

Manager, the Principal Paying Agent and the Issuer shall consult with each other to ensure that the 

Priorities of Payment and any other provisions in the Transaction Documents affected by such change 

are adjusted to reflect such a change, but any such adjustment shall not affect the actual order of the 

priorities of payment. 

4. Security 

(a) Security: Pursuant to the Trust Deed, the obligations of the Issuer under the Notes of each Class, the 

Trust Deed, the Agency Agreement and the Collateral Administration Agreement (together with the 

obligations owed by the Issuer to the other Secured Parties) are secured by, subject in each case to any 

prior ranking security specified below: 

(i) an assignment by way of first fixed security in favour of the Trustee for the benefit of the Secured 

Parties of all of the Issuer’s right, title, interest and benefit, present and future, in and to the Bank 

Loans, CLO Securities, Special Debt Securities, Defaulted Equity Securities, Mezzanine Loans, 

Second Lien Loans, Participations and Participation Agreements, Synthetic Securities, Collateral 

Enhancement Securities and all other Collateral Debt Securities (where such obligations are 

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contractual rights) or any of them owned or thereafter acquired by the Issuer from time to time 

including, without limitation, any of the same acquired by the Issuer in relation to the issue of the 

Notes or any Further Issue Notes, all moneys received in respect thereof, all dividends and 

distributions paid or payable thereon, all property paid, distributed, accruing or offered at any time 

on, to or in respect of or in substitution therefor and the proceeds of sale, repayment and 

redemption thereof; 

(ii) a first fixed charge in favour of the Trustee for the benefit of the Secured Parties over all of the 

Issuer’s right, title, interest and benefit, present and future, in and to the CLO Securities, Special 

Debt Securities, Defaulted Equity Securities, Collateral Enhancement Securities and all other 

Collateral Debt Securities (where such obligations are securities), or any of them owned or 

thereafter acquired by the Issuer from time to time including, without limitation, any of the same 

acquired by the Issuer in relation to the issue of the Notes or any Further Issue Notes, all moneys 

received in respect thereof, all dividends and distributions paid or payable thereon, all property 

paid, distributed, accruing or offered at any time on, to or in respect of or in substitution therefor 

and the proceeds of sale, repayment and redemption thereof; 

(iii) a first fixed charge in favour of the Trustee for the benefit of the Secured Parties over the Issuer’s 

right, title, interest and benefit, present and future, in and to each of the Accounts and any other 

accounts in which the Issuer may at any time have or acquire (including, without limitation, after 

the date hereof) any right, title, interest or benefit other than, in each case, any Securities Lending 

Account (although the charge over (1) the Collateral Enhancement Account shall be for the benefit 

of the Class N Noteholders only and (2) each Stand-by Account shall be for the benefit of the 

relevant Class A1A Noteholder only and (3) the Stand-by Liquidity Account shall be for the 

benefit of the Liquidity Facility Provider only) and all moneys from time to time standing to the 

credit thereof and the debts represented thereby and including, without limitation, all interest 

accrued and other moneys received in respect thereof; 

(iv) a first fixed charge in favour of the Trustee for the benefit of the Secured Parties over all of the 

Issuer’s right, title, interest and benefit, present and future, in and to any principal, interest and 

other payments and distributions of cash and other property with respect to the Collateral Debt 

Securities owned or thereafter acquired by the Issuer from time to time including, without 

limitation, any of the same acquired by the Issuer in relation to the issue of Notes or any Further 

Issue Notes; 

(v) a fixed charge in favour of the Trustee for the benefit of the Secured Parties over all of the Issuer’s 

right, title, interest and benefit, present and future, in and to any Synthetic Security Collateral 

owned or thereafter acquired by the Issuer from time to time including, without limitation, any of 

the same acquired by the Issuer in relation to the issue of the Notes or any Further Issue Notes, in 

each case ranking only behind any security interest granted in favour of a Synthetic Security 

Obligor in its capacity as such in relation to any Synthetic Security Collateral; 

(vi) a first fixed charge over all the Issuer’s right, title, interest and benefit, present and future, in and to 

the Eligible Investments owned or thereafter acquired by the Issuer from time to time including, 

without limitation, any of the same acquired by the Issuer in relation to the issue of the Notes or 

any Further Issue Notes, together with all monies, income and proceeds payable or due to become 

payable thereunder and all interest accruing thereon from time to time (although the charge over 

(1) any Eligible Investments acquired with the amounts standing to the credit of any Stand-by 

Account shall be charged in favour of the Trustee for the benefit of the relevant Class A1A 

Noteholder only and (2) any Eligible Investments acquired with the amounts standing to the 

balance of any Stand-by Liquidity Account shall be charged in favour of the Trustee for the benefit 

of the Liquidity Facility Provider only); 

(vii) a first fixed charge and first priority security interest (where the applicable assets are securities) 

over, or an assignment by way of security (where the applicable rights are contractual obligations) 

of, all rights of the Issuer in respect of, any Securities Lending Collateral standing to the credit of 

the Securities Lending Account including, without limitation, all moneys received in respect 

thereof, all dividends and distributions paid or payable thereon, all property paid, distributed, 

accruing or offered at any time on, to or in respect of or in substitution therefor and the proceeds of 

sale, repayment and redemption thereof and over the Securities Lending Account and all moneys 

from time to time standing to the credit of the Securities Lending Account and the debts 

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epresented thereby, subject, in each case, to the rights of any Securities Lending Counterparty to 

require repayment or redelivery of any such Securities Lending Collateral pursuant to the terms of 

the applicable Securities Lending Agreement; 

(viii) a first fixed charge in favour of the Trustee for the benefit of the Secured Parties over the Custody 

Account (including, without limitation, each cash account relating to the Custody Account, any 

cash held therein and the claim represented by the positive balance from time to time of the 

Custody Account); 

(ix) (A) an assignment by way of first fixed security to the Trustee for the benefit of the Secured 

Parties of the Issuer’s right, title, interest and benefit, present and future, in and to and under (a) 

each Hedge Agreement, (b) any amendment or supplement thereto (including, without limitation, 

any amendment or supplement entered into thereafter) and (c) any guarantee or credit support 

annex or deed entered into pursuant to any Hedge Agreement or any amendment or supplement 

thereto (including, without limitation, any amendment or supplement thereto entered into 

thereafter)), provided that such assignment by way of security shall not in any way restrict the 

release of collateral granted thereunder in whole or in part at any time pursuant to the terms of any 

Hedge Agreement; and (B) a fixed charge over all of the Issuer’s right, title, interest and benefit, 

present and future, in and to any collateral provided now or from time to time thereafter to the 

Issuer (including, without limitation, any of the same provided to the Issuer in connection with the 

issue of the Notes or any Further Issue Notes) under each Hedge Agreement and any amendment 

or supplement thereto (including, without limitation, any amendment or supplement thereto 

entered into thereafter); 

(x) an assignment by way of first fixed security to the Trustee for the benefit of the Secured Parties of 

the Issuer’s right, title, interest and benefit, present and future, under the Collateral Management 

Agreement, the Collateral Administration Agreement, each Collateral Acquisition Agreement, 

each Securities Lending Agreement, the Liquidity Facility Agreement and each other Transaction 

Document (other than the Trust Deed) including, without limitation in each case any amendment 

or supplement thereto (including, without limitation, any amendment or supplement entered into 

thereafter) and any other agreement or document to which the Issuer is party, or to which it is, or 

may at any time be, expressed to have the benefit of or to have any rights under or to have any 

other rights to or interests in (including, without limitation, any agreement or document entered 

into thereafter or to which the Issuer becomes a party or has the benefit of or any rights under or 

rights or interests in thereafter) unless otherwise charged by the Issuer under the Trust Deed 

including, without limitation, any of the same entered into or arising in relation to the issue of the 

Notes or any Further Issue Notes; 

(xi) a first fixed charge in favour of the Trustee for the benefit of the Secured Parties over the Issuer’s 

right, title, interest and benefit, present and future, in and to all money from time to time held by 

the Registrar or any Paying Agent or any Transfer Agent or Capital Commitment Registrar for the 

payment of principal or interest on the Notes; 

(xii) a first fixed charge over all of the Issuer’s rights in respect of any other deposit made or security or 

investment purchased from time to time from amounts standing to the credit of the Accounts or the 

Custody Account that are not subject to the security interests referred to in paragraphs (i) to (xi) 

(inclusive) above (being “non-eligible investments”), in which the Issuer may at any time acquire 

or otherwise obtain an interest or benefit, including, without limitation, in each case, all moneys 

received in respect thereof, all dividends and distributions paid or payable thereon, all property 

paid, distributed, accruing or offered at any time on, to or in respect of, or in substitution therefor 

and the proceeds of sale, repayment and redemption thereof; and 

(xiii) to the extent permitted by applicable laws, a first floating charge granted over the whole of the 

Issuer’s property, undertaking and assets whatsoever and wheresoever situate, present and future, 

to the extent such property, undertaking and assets are not subject to any other security created 

under the Trust Deed; 

excluding for the purpose of (i) to and including (xiii) above, (A) any and all assets, property or rights 

which are located in, or governed by the laws of, The Netherlands (except for contractual rights or 

receivables (rechten of vorderingen op naam) which are assigned or charged to the Trustee pursuant to 

(i) to (xiii) (inclusive) above); (B) any and all Dutch Ineligible Securities; (C) the Issuer’s rights under 

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the Management Agreement; (D) the Issuer’s rights in respect of and any and all amounts standing to 

the credit of the Issuer Dutch Account. 

Security is created by the Issuer pursuant to the Euroclear Pledge Agreement over any Collateral Debt 

Securities, Collateral Enhancement Securities, Defaulted Equity Securities and Eligible Investments 

held in Euroclear. 

The Issuer may also from time to time enter into Additional Security Documents to perfect any security 

granted by the Issuer to the Trustee pursuant to the Trust Deed. 

(b) Application of Proceeds upon Enforcement: The Trust Deed provides that the net proceeds of 

realisation of, or enforcement with respect to, the security over the Collateral constituted by the Trust 

Deed and the Euroclear Pledge Agreement shall be applied in accordance with the Priorities of 

Payment specified in Condition 11 (Enforcement). 

(c) Limited Recourse and Non-Petition: If the net proceeds of realisation of the security constituted by the 

Trust Deed and the Euroclear Pledge Agreement upon enforcement thereof in accordance with 

Condition 11 (Enforcement) and the provisions of the Trust Deed and the Euroclear Pledge Agreement 

are less than the aggregate amount payable in such circumstances by the Issuer in respect of the Notes 

and to the other Secured Parties (such negative amount being referred to herein as a “shortfall”), the 

obligations of the Issuer in respect of the Notes of each Class and its obligations to the other Secured 

Parties in such circumstances will be limited to the net proceeds of realisation of the security 

constituted by the Trust Deed and the Euroclear Pledge Agreement which shall be applied in 

accordance with the Priorities of Payment. In such circumstances the other assets (if any) of the Issuer 

(including amounts standing to the credit of the Issuer Dutch Account and the rights of the Issuer under 

the Management Agreement) will not be available for payment of such shortfall which shall be borne 

by the Secured Parties in accordance with the Priorities of Payment (applied in reverse order), the 

rights of the Secured Parties to receive any further amounts in respect of such obligations shall be 

extinguished and none of the Noteholders of each Class or the other Secured Parties may take any 

further action to recover such amounts. None of the Noteholders of any Class and the other Secured 

Parties (nor any other person acting on behalf of any of them), except for the Trustee, shall be entitled, 

until the expiry of one year and one day from but excluding the date of redemption of the latest 

maturing Note, to institute against the Issuer, or join in any institution against the Issuer of, any 

bankruptcy, reorganisation, arrangement, insolvency, moratorium, controlled management, winding-up 

or liquidation proceedings or other proceedings under any applicable bankruptcy or similar law in 

connection with any obligations of the Issuer relating to the Notes of any Class, the Trust Deed or 

otherwise owed to the Secured Parties, save for lodging a claim in the liquidation of the Issuer which is 

initiated by another party or taking proceedings to obtain a declaration or judgment as to the obligations 

of the Issuer. 

The liabilities upon the Issuer to make any payments of interest or principal on the Notes or of any 

amounts to any other Secured Parties shall be extinguished once all liquidation proceeds from the 

Collateral has been distributed in accordance with the Priorities of Payment. 

(d) Information Regarding the Portfolio: The Issuer shall procure that a Monthly Report and Noteholder 

Valuation Report is made available upon publication thereof through a specifically designated website 

to the Trustee and to each Noteholder of each Class upon request in writing therefor. 

(e) Securities Lending: The Collateral Manager, acting on behalf of the Issuer pursuant to the Collateral 

Management Agreement, may, in its discretion and from time to time and on a limited basis, enter into 

one or more Securities Lending Agreements with regard to Collateral Debt Securities and/or may (on 

behalf of the Issuer) enter into agreements with one or more Securities Lending Agents appointed by 

the Collateral Manager pursuant to which any such agent is permitted to engage in securities lending 

activities and to enter into Securities Lending Agreements on behalf of the Issuer, in each case pursuant 

to the terms of, and subject to the parameters set out in, the Collateral Management Agreement. For 

the avoidance of doubt, neither the Trustee nor the Collateral Administrator will have any 

responsibility whatsoever for any loss, expense or claim whatsoever incurred as a result of any 

securities lending pursuant to this paragraph (e) (Securities Lending) of Condition 4 (Security) and no 

obligations in respect thereof. 

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5. Covenants of the Issuer 

The Trust Deed contains, inter alia, representations, warranties and covenants in favour of the Trustee 

which, inter alia, require the Issuer to comply with its obligations under the Transaction Documents and 

restrict the ability of the Issuer to create or incur any indebtedness (other than that permitted under the Trust 

Deed), to dispose of assets, to change the nature of its business or to take or fail to take any action which 

may adversely affect the priority or enforceability of the security interest in the Collateral. 

6. Interest 

(a) Payment Dates: 

(i) Rated Notes: Each Class of Rated Notes (other than the Class A1A Notes and the Class A1B 

Refinancing Notes) bear interest from the Issue Date. Subject to Condition 6(c) (Deferral of 

Interest), such interest will be payable semi-annually in arrear on each Payment Date. 

(ii) Class N Notes: Interest shall be payable in respect of the Class N Notes on an available funds 

basis in accordance with Condition 3(c)(i) (Priorities of Payment—Application of Interest 

Proceeds on Payment Dates) and Condition 3(c)(iii) (Priorities of Payment—Application of 

Principal Proceeds on Payment Dates) on each Payment Date, and shall continue to be so payable 

in accordance with this Condition 6 (Interest) notwithstanding redemption in full of any Class N 

Note at its applicable Redemption Price. 

(iii) Class A1B Refinancing Notes: The Class A1B Refinancing Notes, if any, will bear interest from 

their issue date at the same rate as the Class A1B Notes and such interest will be payable semiannually 

in arrear on each Payment Date. 

(iv) Class A1A Notes: Drawings in respect of the Class A1A Notes will bear interest from (and 

including) the date of such Drawing. Such interest will be payable semi-annually in arrear on each 

Payment Date or, if earlier, the date such Drawing is repaid. The Commitment Fee shall accrue 

from the Issue Date and shall be payable semi-annually in arrear on each Payment Date on the 

basis set out in Condition 6(j) (Class A1A Notes Commitment Fee) below. 

(b) Interest Accrual: 

(i) Rated Notes: Each Class of Rated Notes (other than the Class A1A Notes) will cease to bear 

interest from the due date for redemption unless, upon due presentation, payment of principal is 

improperly withheld or refused. In such event, it shall continue to bear interest in accordance with 

this Condition 6 (Interest) (both before and after judgment) until whichever is the earlier of (i) the 

day on which all sums due in respect of such Note up to that day are received by or on behalf of 

the relevant Noteholder and (ii) the day seven days after the Trustee or the Registrar has notified 

the Noteholders of such Class of Notes in accordance with Condition 16 (Notices) of receipt of all 

sums due in respect of all the Notes of such Class up to and including that seventh day (except to 

the extent that there is failure in the subsequent payment to the relevant holders under these 

Conditions). 

(ii) Class N Notes: Interest will cease to be payable on the Class N Notes upon the date that all of the 

Collateral held for the benefit of such Noteholders has been realised and no Interest Proceeds or 

Principal Proceeds remain available for distribution in accordance with the Priorities of Payment 

and no sums remain standing to the credit of the Collateral Enhancement Account. 

(iii) Interest on the Class A1A Notes: Any Class A1A Notes will cease to bear interest in accordance 

with the provisions of the Class A1A Note Purchase Agreement. 

(c) Deferral of Interest: 

(i) For so long as any of the Senior Notes remain Outstanding, the Issuer shall only be obliged to pay 

any Interest Amount payable in respect of the Class B Notes in full on any Payment Date to the 

extent that there are Interest Proceeds or Principal Proceeds available for payment thereof in 

accordance with the Priorities of Payment. An amount of interest equal to any shortfall in payment 

of the Interest Amount that would otherwise be due and payable in respect of any such Class B 

Note on any Payment Date (each such amount being referred to as “Class B Deferred Interest”) 

111

shall be deferred and shall, with effect from and including such Payment Date, be added to the 

principal amount outstanding of the Class B Notes and the principal amount of each such Note 

shall be increased by the amount of its pro rata share of such Class B Deferred Interest, which 

shall itself bear interest in accordance with these Conditions from such date. 

(ii) For so long as any of the Senior Notes or Class B Notes remain Outstanding, the Issuer shall only 

be obliged to pay any Interest Amount payable in respect of the Class C Notes in full on any 

Payment Date to the extent that there are Interest Proceeds or Principal Proceeds available for 

payment thereof in accordance with the Priorities of Payment. An amount of interest equal to any 

shortfall in payment of the Interest Amount that would otherwise be due and payable in respect of 

any such Class C Note on any Payment Date (each such amount being referred to as “Class C 

Deferred Interest”) shall be deferred and shall, with effect from and including such Payment 

Date, be added to the principal amount outstanding of the Class C Notes and the principal amount 

of each such Note shall be increased by the amount of its pro rata share of such Class C Deferred 

Interest, which shall itself bear interest in accordance with these Conditions from such date. 

(iii) For so long as any of the Senior Notes, Class B Notes or Class C Notes remains Outstanding, the 

Issuer shall only be obliged to pay any Interest Amount payable in respect of the Class D Notes in 

full on any Payment Date to the extent that there are Interest Proceeds or Principal Proceeds 

available for payment thereof in accordance with the Priorities of Payment. An amount of interest 

equal to any shortfall in payment of the Interest Amount that would otherwise be due and payable 

in respect of any such Class D Note on any Payment Date (each such amount being referred to as 

“Class D Deferred Interest”) shall be deferred and shall, with effect from and including such 

Payment Date, be added to the principal amount outstanding of the Class D Notes and the principal 

amount of each such Note shall be increased by the amount of its pro rata share of such Class D 

Deferred Interest, which shall itself bear interest in accordance with these Conditions from such 

date. 

(iv) For so long as any of the Senior Notes, Class B Notes, Class C Notes or Class D Notes remains 

Outstanding, the Issuer shall only be obliged to pay any Interest Amount payable in respect of the 

Class E Notes in full on any Payment Date to the extent that there are Interest Proceeds or 

Principal Proceeds available for payment thereof in accordance with the Priorities of Payment. An 

amount of interest equal to any shortfall in payment of the Interest Amount that would otherwise 

be due and payable in respect of any such Class E Note on any Payment Date (each such amount 

being referred to as “Class E Deferred Interest” and together with Class B Deferred Interest, 

Class C Deferred Interest and Class D Deferred Interest, “Deferred Interest”) shall be deferred 

and shall, with effect from and including such Payment Date, be added to the principal amount 

outstanding of the Class E Notes and the principal amount of each such Note shall be increased by 

the amount of its pro rata share of such Class E Deferred Interest, which shall itself bear interest in 

accordance with these Conditions from such date. 

(d) Payment of Deferred Interest: 

Deferred Interest shall only become payable by the Issuer in accordance with Condition 3(c) (Priorities 

of Payment) to the extent that Interest Proceeds or Principal Proceeds are available to make such 

payment in accordance with the Priorities of Payment. 

(e) Interest on Class A1B Notes, Class A2 Notes, Class B Notes, Class C Notes, Class D Notes and Class E 

Notes: 

(i) Rate of Interest: Save as provided in paragraph (iii) below, the rate of interest from time to time in 

respect of the Class A1B Notes (the “Class A1B Note Interest Rate”), the Class A2 Notes (the 

“Class A2 Note Interest Rate”), the Class B Notes (the “Class B Note Interest Rate”), the Class 

C Notes (the “Class C Note Interest Rate”), the Class D Notes (the “Class D Note Interest 

Rate”) and the Class E Notes (the “Class E Note Interest Rate”) will each be determined by the 

Principal Paying Agent on the following basis. 

(A) 

On the second TARGET Business Day before the beginning of each Interest Accrual 

Period or, in the case of the first Interest Accrual Period, the Issue Date (each an 

“Interest Determination Date”) the Principal Paying Agent will determine the 

Applicable EURIBOR for Euro deposits as at 11.00 am (Brussels time) on the Interest 

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Determination Date in question. Such offered rate will be that which appears on the 

display designated as page 248 on the Telerate Monitor (or (a) such other page or service 

as may replace it for the purpose of displaying EURIBOR rates or (b) if that service 

ceases to display such information, such page as displays such information on such 

service (or, if more than one, that one previously approved in writing by the Trustee)) (the 

“Screen Rate”). The Class A1B Note Interest Rate, the Class A2 Note Interest Rate, the 

Class B Note Interest Rate, the Class C Note Interest Rate, the Class D Note Interest Rate 

and the Class E Note Interest Rate for such Interest Accrual Period shall be the aggregate 

of the Class A1B Margin (in the case of the Class A1B Note Interest Rate), the Class A2 

Margin (in the case of the Class A2 Note Interest Rate), the Class B Margin (in the case 

of the Class B Note Interest Rate), the Class C Margin (in the case of the Class C Note 

Interest Rate), the Class D Margin (in the case of the Class D Note Interest Rate) and the 

Class E Margin (in the case of the Class E Note Interest Rate) and the rate which so 

appears, all as determined by the Principal Paying Agent. 

(B) 

(C) 

(D) 

If the offered rate so appearing is replaced by the corresponding rates of more than one 

bank then paragraph (A) shall be applied, with any necessary consequential changes, to 

the arithmetic mean (rounded, if necessary, to the nearest one thousandth of a percentage 

point (with 0.005 being rounded upwards)) of the rates (being at least two) which so 

appear, as determined by the Principal Paying Agent. If for any other reason such offered 

rate does not so appear, or if the relevant page is unavailable, the Principal Paying Agent 

will request each of four major banks in the Euro zone interbank market acting in each 

case through its principal Euro zone (as defined in this Condition below) office (the 

“Reference Banks”) to provide the Principal Paying Agent with its offered quotation to 

leading banks for Euro deposits in the Euro zone interbank market for a period of six 

months (or the appropriate period in respect of the first Interest Accrual Period for the 

Notes or the Interest Accrual Period immediately prior to the Maturity Date or the 

Redemption Date) as at 11.00 am (Brussels time) on the Interest Determination Date in 

question. The Class A1B Note Interest Rate, the Class A2 Note Interest Rate, the Class B 

Note Interest Rate, the Class C Note Interest Rate, the Class D Note Interest Rate or the 

Class E Note Interest Rate for such Interest Accrual Period shall be the aggregate of the 

Class A1B Margin (in the case of the Class A1B Note Interest Rate), the Class A2 Margin 

(in the case of the Class A2 Note Interest Rate), the Class B Margin (in the case of the 

Class B Note Interest Rate), the Class C Margin (in the case of the Class C Note Interest 

Rate), the Class D Margin (in the case of the Class D Note Interest Rate) and the Class E 

Margin (in the case of the Class E Note Interest Rate) and the arithmetic mean (rounded, 

if necessary, to the nearest one thousandth of a percentage point (with 0.005 being 

rounded upwards)) of such quotations (or of such of them, being at least two, as are so 

provided), all as determined by the Principal Paying Agent. 

If on any Interest Determination Date one only or none of the Reference Banks provides 

such quotation, the Class A1B Note Interest Rate, the Class A2 Note Interest Rate, the 

Class B Note Interest Rate, the Class C Note Interest Rate, the Class D Note Interest Rate 

and the Class E Note Interest Rate for the next Interest Accrual Period shall be the rate 

per annum which the Principal Paying Agent determines to be the arithmetic mean 

(rounded, if necessary, to the nearest one thousandth of a percentage point (with 0.005 

being rounded upwards)) of the Euro lending rates which major banks in the Euro zone 

selected by the Principal Paying Agent are quoting, on the relevant Interest Determination 

Date, for loans in Euro for a period of six months (or the appropriate period in respect of 

the first Interest Accrual Period for the Notes or the Interest Accrual Period immediately 

prior to the Maturity Date or the Redemption Date) to leading European banks plus the 

Class A1B Margin (in the case of the Class A1B Note Interest Rate), the Class A2 Margin 

(in the case of the Class A2 Note Interest Rate), the Class B Margin (in the case of the 

Class B Note Interest Rate), the Class C Margin (in the case of the Class C Note Interest 

Rate), the Class D Margin (in the case of the Class D Note Interest Rate) and the Class E 

Margin (in the case of the Class E Note Interest Rate). 

For the purpose of this Condition 6(e) (Interest on the Class A1B Notes, Class A2 Notes, 

Class B Notes, Class C Notes, Class D Notes and Class E Notes): 

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“Euro zone” means the region comprised of Member States of the European Union that 

have adopted the single currency in accordance with the Treaty establishing the European 

Community, as amended by the Treaty on European Union; and 

“Class A1B Margin” means 0.23 per cent. per annum. 

“Class A2 Margin” means 0.32 per cent. per annum. 

“Class B Margin” means 0.42 per cent. per annum. 

“Class C Margin” means 0.70 per cent. per annum. 

“Class D Margin” means 1.70 per cent. per annum. 

“Class E Margin” means 3.95 per cent. per annum. 

(ii) Determination of Floating Rate of Interest and Calculation of Interest Amount: The Principal 

Paying Agent will, as soon as practicable after 11.00 am (Brussels time) on each Interest 

Determination Date, but in no event later than the second Business Day after such date, determine 

the Note Interest Rate in respect of and calculate the Interest Amount payable in respect of the 

Class A1B Notes, the Class A2 Notes, the Class B Notes, the Class C Notes, the Class D Notes 

and the Class E Notes (as applicable) of €1,000 of such Notes for the relevant Interest Accrual 

Period. The Interest Amount in respect of the Class A1B Notes, the Class A2 Notes, the Class B 

Notes, the Class C Notes, the Class D Notes and the Class E Notes for each Authorised 

Denomination shall be calculated by applying the relevant Note Interest Rate of the Class A1B 

Notes, the Class A2 Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class 

E Notes (as applicable) to an amount equal to each such Authorised Denomination, multiplying the 

product by the actual number of days in the Interest Accrual Period concerned divided by 360 and 

rounding the resultant figure to the nearest cent (half a cent being rounded upwards). 

(iii) Reference Banks and Principal Paying Agent: The Issuer shall procure that, so long as any Class 

A1B Notes, Class A2 Notes, Class B Notes, Class C Notes, Class D Notes or Class E Notes are 

Outstanding: 

(A) 

(B) 

a Principal Paying Agent shall be appointed and maintained for the purposes of 

determining the interest rate and interest amount payable in respect of such Outstanding 

Classes of Notes, as applicable; and 

in the event that the Class A1B Note Interest Rate, Class A2 Note Interest Rate, Class B 

Note Interest Rate, Class C Note Interest Rate, Class D Note Interest Rate or Class E Note 

Interest Rate is to be calculated by Reference Banks pursuant to Condition 6 (Interest), 

that the number of Reference Banks required pursuant to such Condition are appointed. 

If the Principal Paying Agent is unable or unwilling to continue to act as the Principal Paying 

Agent for the purpose of calculating interest hereunder or fails duly to establish the Class A1B 

Note Interest Rate, the Class A2 Note Interest Rate, the Class B Note Interest Rate, the Class C 

Note Interest Rate, the Class D Note Interest Rate or the Class E Note Interest Rate for any Interest 

Accrual Period or to calculate the Interest Amount on the Notes (other than the Class A1A Notes), 

the Issuer shall appoint another financial institution with the ability to provide the services 

undertaken by the Principal Paying Agent herein to act as such in its place. The Principal Paying 

Agent may not resign its duties without a successor having been so appointed. 

(f) 

Interest on the Class N Notes: The Collateral Administrator will on each Determination Date calculate 

the Interest Amount payable in respect of each €1,000 in original principal amount of the Class N 

Notes for the relevant Interest Accrual Period. The Interest Amount so payable on each Payment Date 

(other than on a Redemption Date or the Maturity Date of the Class N Notes) in respect of each €1,000 

in original principal amount of Class N Notes shall be calculated by multiplying the aggregate of: 

(i) the amount of Interest Proceeds to be applied on the applicable Payment Date pursuant to 

paragraphs (II) and (KK) of Condition 3(c)(i) (Application of Interest Proceeds on Payment Dates) 

and Principal Proceeds to be applied in payment of interest on the Class N Notes pursuant to 

paragraph (Z) of Condition 3(c)(iii) (Application of Principal Proceeds on Payment Dates); and 

114

(ii) the amount determined by the Collateral Manager and notified to the Collateral Administrator on 

or before each Determination Date to be paid as interest to the Class N Noteholders on the next 

Payment Date from amounts standing to the credit of the Collateral Enhancement Account which 

have been (i) transferred to the Collateral Enhancement Account in accordance with Condition 

3(c)(i)(HH) or (ii) credited to the Collateral Enhancement Account as amounts representing Sale 

Proceeds of Collateral Enhancement Securities, 

by a fraction the numerator of which is €1,000 and the denominator of which is the aggregate principal 

amount of the Class N Notes Outstanding immediately prior to such Payment Date. 

(g) Publication of Floating Rates of Interest and Interest Amounts: The Principal Paying Agent will cause 

the Class A1B Note Interest Rate, the Class A2 Note Interest Rate, the Class B Note Interest Rate, the 

Class C Note Interest Rate, the Class D Note Interest Rate, the Class E Note Interest Rate and the 

Interest Amount and, if applicable, any Deferred Interest Amounts payable in respect of each relevant 

Class of Notes for each Interest Accrual Period and Payment Date to be notified to the Issuer, the 

Registrar, the Trustee and the Irish Stock Exchange as soon as possible after their determination, but in 

no event later than the first Business Day of such Interest Accrual Period, and the Registrar shall cause 

each such rate, amount and date to be notified to the Noteholders of each Class in accordance with 

Condition 16 (Notices) as soon as possible following notification to the Registrar but in no event later 

than the third Business Day after such notification. The Interest Amounts and the Payment Date in 

respect of the Notes so published may subsequently be amended (or appropriate alternative 

arrangements made with the consent of the Trustee by way of adjustment) without notice (save that 

notice shall be given to the Trustee) in the event of an extension or shortening of the Interest Accrual 

Period. If any of the Notes become due and payable under Condition 10 (Events of Default), interest 

shall nevertheless continue to be calculated as previously notified by the Principal Paying Agent in 

accordance with this Condition but no publication of the applicable Interest Amounts shall be made 

unless the Trustee so determines. 

(h) Determination or Calculation by Trustee: If the Principal Paying Agent does not at any time for any 

reason so determine the Class A1B Note Interest Rate, the Class A2 Note Interest Rate, the Class B 

Note Interest Rate, the Class C Note Interest Rate, the Class D Note Interest Rate or the Class E Note 

Interest Rate or does not calculate the Interest Amounts payable in respect of any Class of Notes (other 

than the Class A1A Notes) for an Interest Accrual Period, the Trustee (or a person appointed by it for 

the purpose) shall do so and such determination or calculation shall be deemed to have been made by 

the Principal Paying Agent and shall be binding on the Noteholders. In doing so, the Trustee, or such 

person appointed by it, shall apply the foregoing provisions of this Condition, with any necessary 

consequential amendments, to the extent that, in its opinion, it can do so, and, in all other respects it 

shall do so in such manner as it shall deem fair and reasonable in all the circumstances and reliance on 

such persons as it has appointed for such purpose. The Trustee shall have no liability to any person in 

connection with any determination or calculation it is required to make pursuant to this Condition 6(h) 

(Determination or Calculation by Trustee). 

(i) 

(j) 

Notifications etc. to be Final: All notifications, opinions, determinations, certificates, quotations and 

decisions given, expressed, made or obtained for the purposes of the provisions of this Condition, 

whether by the Reference Banks (or any of them), the Principal Paying Agent or the Trustee, will (in 

the absence of wilful default, bad faith or manifest error) be binding on the Issuer, the Reference 

Banks, the Principal Paying Agent, the Trustee, the Registrar, the Transfer Agents, the Capital 

Commitment Registrar, all Noteholders and all other Secured Parties and (in the absence as referred to 

above) no liability to the Issuer or the Noteholders of any Class shall attach to the Reference Banks, the 

Principal Paying Agent or the Trustee in connection with the exercise or non-exercise by them of their 

powers, duties and discretions under this Condition. 

Class A1A Notes Commitment Fee: The Issuer shall pay a commitment fee in Euro (the “Commitment 

Fee”) in respect of each Interest Accrual Period which: 

(i) shall be calculated on the basis of actual days elapsed in such Interest Accrual Period and a 360 

day year at the rate of 0.15 per cent. per annum of the daily weighted average amount of the 

Undrawn Amount during such Interest Accrual Period; and 

115

(ii) shall be paid to the Class A1A Noteholders, in respect of each Interest Accrual Period, on the 

Payment Date immediately following the end of such Interest Accrual Period in accordance with 

the Priorities of Payment. 

(k) Interest on the Class A1A Notes: The relevant interest amount in respect of a Drawing under the Class 

A1A Notes and a Class A1A Notes Interest Period shall be calculated by the Principal Paying Agent 

applying (i)(a) in the case of a Euro Drawing, the relevant Class A1A Euro Rate of Interest to an 

amount equal to such Euro Drawing, on the relevant Payment Date, or as the case may be, the date such 

Drawing is repaid and (b) in the case of a Sterling Drawing, the relevant Class A1A Sterling Rate of 

Interest to an amount equal to such Sterling Drawing on the relevant Payment Date, or as the case may 

be, the date such Drawing is repaid and (ii) the applicable Class A1A Day Count Fraction (the 

aggregate of each such amount in respect of each Drawing and a Class A1A Notes Interest Period, the 

“Class A1A Interest Amount”) and the Principal Paying Agent shall also calculate the Class A1A 

Aggregate Interest Amount. 

If at any time during a Class A1A Notes Interest Period, the Senior Notes are not rated at least “AA” by 

Fitch and “AA” by S&P, respectively, the Class A1A Increased Margin will be added to the Class A1A 

Euro Rate of Interest and the Class A1A Sterling Rate of Interest in respect of such Class A1A Notes 

Interest Period. 

(l) 

Certificate: The Principal Paying Agent shall notify each of the Class A1A Noteholders and the Issuer 

of the Class A1A Euro Rate of Interest and the Class A1A Sterling Rate of Interest as soon as it is 

determined under Condition 6(k) (Interest on the Class A1A Notes). 

(m) Failure of Reference Bank: If any Class A1A Reference Bank for any reason fails to notify to the 

Principal Paying Agent the rate calculated in accordance with the definitions of the Class A1A Euro 

Rate of Interest and the Class A1A Sterling Rate of Interest, the rate of interest shall be determined on 

the basis of the rates notified to the Principal Paying Agent by the remaining Class A1A Reference 

Banks or Class A1A Reference Bank and if no such rates are provided, then the rates provided with 

respect to the previous Class A1A Notes Interest Period shall be applied. 

(n) Notification of Class A1A Aggregate Interest Amount: The Principal Paying Agent shall notify each of 

the Class A1A Noteholders, the Collateral Administrator, the Collateral Manager, the Principal Paying 

Agent and the Issuer of the Class A1A Aggregate Interest Amount (and the individual components 

comprised therein) due on a Payment Date at least two Business Days prior to such Payment Date. 

(o) Duration of Class A1A Notes Interest Periods: If any Class A1A Notes Interest Period would otherwise 

extend beyond the relevant Repayment Date it shall be shortened so that it ends on the relevant 

Repayment Date. 

(p) Payment: Interest on the Class A1A Notes shall be paid in the manner specified in the Class A1A Note 


7. Redemption 

(a) Final Redemption: Save to the extent previously redeemed and cancelled, the Notes of each Class will 

be redeemed on the Maturity Date of such Notes. In the case of a redemption pursuant to this 

Condition 7(a) (Final Redemption), the Senior Notes, the Class B Notes, the Class C Notes, the Class D 

Notes and the Class E Notes will be redeemed at their outstanding principal amount and the Class N 

Notes will be redeemed at the amount equal to their pro rata share of the amount of Principal Proceeds 

to be applied towards such redemption pursuant to the Priorities of Payment. Notes may not be 

redeemed other than in accordance with this Condition 7 (Redemption). 

(b) Optional Redemption 

(i) (A) 

Redemption at the Option of the Class N Noteholders: Subject to the provisions of 

Condition 7(b)(ii) (Conditions to Optional Redemption at the Option of the Class N 

Noteholders), the Senior Notes, the Class B Notes, the Class C Notes, the Class D Notes, 

the Class E Notes and the Class N Notes shall be redeemed by the Issuer, in whole but not 

in part, at the applicable Redemption Prices, on any Payment Date falling on or after the 

fifth anniversary of the Issue Date or, upon the occurrence of a Collateral Tax Event, on 

any Payment Date falling thereafter, at the request in writing of the holders of at least 

116

66⅔ per cent. of the aggregate principal amount of Class N Notes Outstanding (as 

evidenced by duly completed Redemption Notices) in accordance with the procedures 

described in paragraph (ii) below. The Issuer shall procure that notice of such 

redemption, including the applicable Redemption Date, shall be given to the Noteholders 

in accordance with Condition 16 (Notices) and to the Rating Agencies. 

(B) 

Redemption for Tax Reasons: Subject to the provisions of Condition 7(b)(ii) (Conditions 

to Optional Redemption at the Option of the Class N Noteholders) and following the 

occurrence of a Tax Event, the Senior Notes, the Class B Notes, the Class C Notes, the 

Class D Notes, the Class E Notes and the Class N Notes shall be redeemed by the Issuer, 

with the written consent of the holders of at least 66⅔ per cent. of the aggregate principal 

amount of Class N Notes Outstanding (as evidenced by duly completed Redemption 

Notices) in accordance with the procedures described in paragraph (ii) below or with the 

consent of the Trustee acting on the directions of the holders of at least 66⅔ per cent. of 

the aggregate principal amount outstanding of the Controlling Class, in whole but not in 

part, at the applicable Redemption Prices, on the Payment Date following the Issuer 

giving not more than 60 nor less than 30 days’ notice to Noteholders (which notice shall 

be irrevocable) that the Notes are to be redeemed. The Issuer shall procure that notice of 

such redemption, including the applicable Redemption Date, shall be given to the 

Noteholders in accordance with Condition 16 (Notices) and to the Rating Agencies. 

(ii) Conditions to Optional Redemption at the Option of the Class N Noteholders: Following receipt 

of confirmation from the Registrar of receipt of a direction or consent as applicable, from the 

requisite percentage of Class N Noteholders or, as the case may be, the Controlling Class to 

exercise any right of optional redemption pursuant to this Condition, the Collateral Administrator 

shall, as soon as practicable, and in any event not later than 15 Business Days prior to the 

scheduled Redemption Date (the “Redemption Determination Date”) calculate the Redemption 

Threshold Amount. 

The Notes shall not be optionally redeemed pursuant to paragraph (i) above unless at least five 

Business Days before the scheduled Redemption Date the Collateral Manager shall have furnished 

to the Trustee evidence, in form satisfactory to the Trustee, that the Collateral Manager on behalf 

of the Issuer has entered into a binding agreement or agreements with a financial institution or 

institutions whose short-term senior unsecured debt obligations (other than such obligations whose 

rating is based on the credit of a person other than such institution) have a credit rating from Fitch 

of at least “F1” and from S&P of at least “A-1+”, to purchase, not later than the second Business 

Day immediately preceding the scheduled Redemption Date, in immediately available funds, all or 

part of the Collateral Debt Securities held by or on behalf of the Issuer and other Collateral 

(including the Eligible Investments) at an aggregate purchase price (net of expenses) at least equal 

to the amount, together with all cash available to the Issuer, notified by the Collateral 

Administrator as being the Redemption Threshold Amount. 

(iii) Mechanics of Redemption: Following calculation by the Collateral Administrator of the applicable 

Redemption Threshold Amount, the Collateral Administrator shall make such other calculations as 

it is required to make pursuant to the Collateral Administration Agreement and shall notify the 

Issuer, the Trustee, the Collateral Manager and the Noteholders (in accordance with Condition 16 

(Notices)) of such amount. 

To exercise the options referred to in Conditions 7(b)(i)(A) and (B) the holders of (i) at least 66⅔ 

per cent. of the principal amount of the Class N Notes Outstanding or (ii) at least 66⅔ per cent. of 

the principal amount of the Controlling Class or at least 66⅔ per cent. of the principal amount of 

the Class N Notes Outstanding in the case of Condition 7(b)(i)(B), must deliver to a Paying Agent 

the Definitive Notes representing such Notes together with a duly completed Redemption Notice 

not more than 60 nor less than 20 Business Days prior to the applicable Redemption Date (neither 

any such Redemption Notice nor Definitive Note so delivered may be withdrawn without the prior 

consent of the Issuer). 

(c) Mandatory Redemption 

(i) Redemption upon Breach of Coverage Test: 

117

(A) 

(B) 

(C) 

(D) 

(E) 

Senior Notes: If any of the Coverage Tests is not met on any Determination Date, the 

Interest Proceeds and Principal Proceeds available immediately prior to the Payment Date 

immediately following such Determination Date, net of amounts payable as specified in 

Condition 3(c)(i) (Application of Interest Proceeds on Payment Dates) and 3(c)(iii) 

(Application of Principal Proceeds on Payment Dates), will be used on such Payment 

Date, in accordance with the Priorities of Payment and the Senior Notes Redemption 

Method, to redeem and repay, as applicable, the Senior Notes, in whole or in part, until all 

the Coverage Tests are satisfied once recalculated following such repayment or 

redemption. For the avoidance of doubt, satisfaction of the Coverage Tests shall take 

account of any cancellation of the Total Commitments (as defined in the Class A1A Note 

Purchase Agreement) pursuant to the Class A1A Note Purchase Agreement. 

Class B Notes: If the Senior Notes are no longer Outstanding and the Class B 

Overcollateralisation Ratio Test, the Class C Overcollateralisation Ratio Test, the Class D 

Overcollateralisation Ratio Test or the Class E Overcollateralisation Ratio Test is not met 

on any Determination Date, the Interest Proceeds and Principal Proceeds available 

immediately prior to the Payment Date immediately following such Determination Date, 

net of amounts payable as specified in Condition 3(c)(i) (Application of Interest Proceeds 

on Payment Dates) and 3(c)(iii)(Application of Principal Proceeds on Payment Dates), 

will be used on such Payment Date, in accordance with the Priorities of Payment, to 

redeem the Class B Notes on a pro rata basis, in whole or in part, until each of the Class 

B Overcollateralisation Ratio Test, the Class C Overcollateralisation Ratio Test, the Class 

D Overcollateralisation Ratio Test and the Class E Overcollateralisation Ratio Test are 

satisfied once recalculated following such redemption. 

Class C Notes: If the Senior Notes and the Class B Notes are no longer Outstanding and 

the Class C Overcollateralisation Ratio Test, the Class D Overcollateralisation Ratio Test 

or the Class E Overcollateralisation Ratio Test is not met on any Determination Date, the 

Interest Proceeds and Principal Proceeds available immediately prior to the Payment Date 


Condition 3(c)(i) (Application of Interest Proceeds on Payment Dates) and 

3(c)(iii)(Application of Principal Proceeds on Payment Dates), will be used on such 

Payment Date, in accordance with the Priorities of Payment, to redeem the Class C Notes 

on a pro rata basis, in whole or in part, until each of the Class C Overcollateralisation 

Ratio Test, the Class D Overcollateralisation Ratio Test and the Class E 

Overcollateralisation Ratio Test are satisfied once recalculated following such 

redemption. 

Class D Notes: If the Senior Notes, the Class B Notes and the Class C Notes are no 

longer Outstanding and the Class D Overcollateralisation Ratio Test or the Class E 

Overcollateralisation Ratio Test is not met on any Determination Date, the Interest 

Proceeds and Principal Proceeds available immediately prior to the Payment Date 


Condition 3(c)(i) (Application of Interest Proceeds on Payment Dates) and 

3(c)(iii)(Application of Principal Proceeds on Payment Dates), will be used on such 

Payment Date, in accordance with the Priorities of Payment, to redeem the Class D Notes 

on a pro rata basis, in whole or in part, until each of the Class D Overcollateralisation 

Ratio Test and the Class E Overcollateralisation Ratio Test are satisfied once recalculated 

following such redemption. 

Class E Notes: If the Senior Notes, the Class B Notes, the Class C Notes and the Class D 

Notes are no longer Outstanding and the Class E Overcollateralisation Ratio Test is not 

met on any Determination Date, the Interest Proceeds and Principal Proceeds available 

immediately prior to the Payment Date immediately following such Determination Date, 

net of amounts payable as specified in Condition 3(i) (Application of Interest Proceeds on 

Payment Dates) and 3(c)(iii) (Application of Principal Proceeds on Payment Dates) will 

be used on such Payment Date, in accordance with the Priorities of Payment, to redeem 

the Class E Notes on a pro rata basis, in whole or in part, until the Class E 

Overcollateralisation Ratio Test is satisfied once recalculated following such redemption. 

118

(ii) Redemption Following Target Date Rating Downgrade: In the event that a Target Date Rating 

Downgrade has occurred and is continuing on the Business Day prior to a Payment Date, the 

following amounts: 

(A) 

(B) 

all Interest Proceeds remaining after payment of all amounts referred to in Condition 

3(c)(i)(A) to (V) (inclusive); and 

if necessary after the foregoing payments are made, all Principal Proceeds after payment 

of the amounts referred to in Condition 3(c)(iii)(A) to (K) (inclusive), 

will be applied on such Payment Date in redemption or repayment, as applicable, of the Senior 

Notes, in whole or in part, in accordance with the Senior Notes Redemption Method and following 

such redemption or repayment in full, to redeem the Class B Notes (on a pro rata basis), in whole 

or in part, and following such redemption in full, to redeem the Class C Notes (on a pro rata 

basis), in whole or in part, and following such redemption in full, to redeem the Class D Notes (on 

a pro rata basis), in whole or in part, and following such redemption in full, to redeem the Class E 

Notes (on a pro rata basis), in whole or in part, or, in each case if earlier, until the Rating Agencies 

confirm in writing that each such rating is reinstated. 

(iii) Redemption Following Expiry of the Reinvestment Period: Following expiry of the Reinvestment 

Period, the Issuer shall, on each Payment Date occurring thereafter, apply Principal Proceeds 

transferred to the Euro Payment Account or the Sterling Payment Account immediately prior to the 

related Payment Date, in accordance with the Priorities of Payment, to redeem or repay, as 

applicable, the Senior Notes, in whole or in part, in accordance with the Senior Notes Redemption 

Method and following such redemption or repayment in full, to redeem the Class B Notes (on a 

pro rata basis), in whole or in part, and following such redemption in full, to redeem the Class C 

Notes (on a pro rata basis), in whole or in part, and following such redemption in full, to redeem 

the Class D Notes (on a pro rata basis), in whole or in part, and following such redemption in full, 

to redeem the Class E Notes (on a pro rata basis), in whole or in part, and following such 

redemption in full, to redeem the Class N Notes (on a pro rata basis), in whole or in part. 

(iv) Redemption upon Breach of Reinvestment OC Test: On each Payment Date after the end of the 

Reinvestment Period, in the event that the Reinvestment OC Test (as calculated by the Collateral 

Administrator) is not satisfied on the immediately preceding Measurement Date, Interest Proceeds, 

net of the amounts payable under Condition 3(c)(i)(A) to (Z) (inclusive), will be used to redeem or 

repay, as applicable, the Senior Notes, in whole or in part, in accordance with the Senior Notes 

Redemption Method and following such redemption or repayment in full, to redeem the Class B 

Notes (on a pro rata basis), in whole or in part, and following such redemption in full, to redeem 

the Class C Notes (on a pro rata basis), in whole or in part, and following such redemption in full, 

to redeem the Class D Notes (on a pro rata basis), in whole or in part, and following such 

redemption in full, to redeem the Class E Notes (on a pro rata basis), in whole or in part, in each 

case, to the extent necessary to cause the Reinvestment OC Test to be met if recalculated following 

such redemption or repayment. 

(v) Redemption upon Sterling Funding Mismatch: On each Payment Date, in the event that there is a 

Sterling Funding Mismatch, Interest Proceeds and Principal Proceeds will be used in accordance 

with the Priorities of Payment to repay the Sterling Drawings (on a pro rata basis), in whole or in 

part, to the extent necessary to cure such Sterling Funding Mismatch. 

(vi) Cancellation of commitment pursuant to the Class A1A Notes: Where the Senior Notes are 

required to be redeemed pursuant to Condition 7(c)(i) to (ii) above or pursuant to the Priorities of 

Payment, after such redemption, the Total Commitments shall be automatically reduced and 

cancelled as set out in the Class A1A Note Purchase Agreement. 

(d) Redemption at the Option of the Collateral Manager: Principal on the Notes shall be paid in 

accordance with Condition 3(c)(iii) (Application of Principal Proceeds on Payment Dates) by the 

Issuer on the direction of the Collateral Manager (acting in its sole and absolute discretion on behalf of 

the Issuer) if, at any time during the Reinvestment Period, the Collateral Manager (acting on behalf of 

the Issuer) by notice certifies to the Issuer and the Trustee that for a period of 90 days following receipt 

of such funds it has been unable to identify Additional Collateral Debt Securities that are deemed 

appropriate by the Collateral Manager (in its discretion and acting on behalf of the Issuer) and which 

119

meet the Eligibility Criteria or, to the extent applicable, the Reinvestment Criteria and the Additional 

Reinvestment Criteria, in sufficient amounts to permit the investment or reinvestment of all or a portion 

of the funds then in the Principal Collection Account that are to be invested in Additional Collateral 

Debt Securities (a “Special Redemption”). On the first Payment Date following the Due Period in 

which any such notice is given (a “Special Redemption Date”), funds on deposit in the Principal 

Collection Account representing Euro Principal Proceeds which cannot be reinvested in Additional 

Collateral Debt Securities (the “Special Redemption Amount”) will be applied in accordance with 

Condition 3(c)(iii)(O). Notice of payments pursuant to this Condition 7(d) (Redemption at the Option 

of the Collateral Manager) shall be given in accordance with Condition 16 (Notices) not less than three 

Business Days prior to the applicable Special Redemption Date to each Noteholder affected thereby 

and to the Rating Agencies. For the avoidance of doubt, the exercise of a Special Redemption shall be 

at the sole and absolute discretion of the Collateral Manager (acting on behalf of the Issuer) and the 

Collateral Manager shall be under no obligation to, or have any responsibility for, any Noteholder or 

any other person for the exercise or non-exercise (as applicable) of such Special Redemption. 

If at any time the Reinvestment Period is terminated earlier in accordance with paragraph (iv) of the 

definition of “Reinvestment Period”, the Issuer’s option to redeem the Notes as set out above shall be 

terminated and the Issuer shall instead redeem the Notes in accordance with the Priorities of Payment 

following an expiry of the Reinvestment Period. 

(e) Redemption of Class A1A Notes: The Class A1A Notes may be redeemed by the Issuer subject to and 

in accordance with the terms of the Class A1A Note Purchase Agreement. 

(f) Redemption: All Notes in respect of which any notice of redemption is given under this Condition 7 

(Redemption) shall be redeemed on the Redemption Date at their applicable Redemption Prices and to 

the extent specified in such notice and in accordance with the requirements of this Condition. 

(g) Cancellation: All Notes redeemed in full or purchased in accordance with this Condition 7 

(Redemption), will be cancelled and may not be reissued or resold. 

(h) Redemption of Class N Notes: Notwithstanding any other provision of these Conditions or the Trust 

Deed, all references herein and therein to any of the Class N Notes being redeemed in full at their 

Redemption Prices shall be deemed to be amended to the extent required to ensure that €1 principal 

amount per Minimum Denomination of the Class N Notes remains outstanding at all times and all 

amounts which are to be applied in redemption of such Class N Notes pursuant hereto which are in 

excess of the Redemption Price thereof minus €1, shall constitute interest payable in respect of such 

Class N Notes and shall not be applied in redemption of the principal amount outstanding thereof, 

provided always however that such €1 shall no longer remain outstanding and such Class N Notes shall 

be redeemed in full on the date on which all of the Collateral securing the Notes has been realised and 

is to be finally distributed to, inter alios, the Noteholders. 

8. Payments 

(a) Method of Payment: Payments of principal upon final redemption in respect of each Note will be made 

against presentation and surrender (or, in the case of part payment only, endorsement) of the Definitive 

Note representing such Note at the specified office of any Paying Agent by Euro cheque drawn on a 

bank in Europe. Payments of interest on each Note and, prior to redemption in full thereof, principal in 

respect of each Note, will be made by Euro cheque drawn on a bank in Europe and posted on the 

relevant due date to the holder (or to the first named of joint holders) of the Note appearing on the 

Register or the Capital Commitment Register, as the case may be, at the close of business on the 

fifteenth day (whether or not a Business Day) before the relevant due date (the “Record Date”) at his 

address shown on the Register or the Capital Commitment Register, as the case may be, on the Record 

Date. Upon application of the holder to the specified office of the Registrar or the Capital Commitment 

Registrar, as the case may be, or any Transfer Agent not less than ten Business Days before the due 

date for any payment in respect of a Note, the payment may be made (in the case of any final payment 

of principal against presentation and surrender (or, in the case of part payment only of such final 

payment, endorsement) of the Definitive Note representing such Note as provided above) by wire 

transfer in immediately available funds on the due date to a Euro account maintained by the payee with 

a bank in Europe. 

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(b) Payments Subject to Fiscal Laws: All payments are subject in all cases to any applicable fiscal or other 

laws, regulations and directives, but without prejudice to the provisions of Condition 9 (Taxation). No 

commission shall be charged to the Noteholders. 

(c) Payments on Presentation Days: A holder shall be entitled to present a Note for payment only on a 

Presentation Date and shall not, except as provided in Condition 6 (Interest), be entitled to any further 

interest or other payment if a Presentation Date is after the due date. If a Note is presented for payment 

at a time when, as a result of differences in time zones it is not practicable to transfer the relevant 

amount to an account as referred to above for value on the relevant Presentation Date, the Issuer shall 

not be obliged so to do but shall be obliged to transfer the relevant amount to the account for value on 

the first practicable date after the Presentation Date. 

(d) Paying Agents, Registrar, Transfer Agents and Capital Commitment Registrar: The names of the 

initial Paying Agents, Registrar, Transfer Agents and Capital Commitment Registrar and their initial 

specified offices are set out in the Agency Agreement and the Class A1A Note Purchase Agreement, 

respectively. The Issuer reserves the right at any time with the approval of the Trustee to vary or 

terminate the appointment of any Paying Agent, the Registrar, any Transfer Agent and the Capital 

Commitment Registrar and appoint additional or other Agents, provided that it will maintain Paying 

Agents, a Registrar, Transfer Agents and a Capital Commitment Registrar having among them 

specified offices in at least two major European cities approved by the Trustee (including Ireland for so 

long as the Notes of any Class are listed on the Irish Stock Exchange and the rules of that exchange so 

require) and notice of any such appointment will promptly be given to the Noteholders by the Issuer in 

accordance with Condition 16 (Notices). 

9. Taxation 

All payments of principal and interest in respect of the Notes will be made free and clear of, and without 

withholding or deduction for, any taxes, duties, assessments or governmental charges of whatever nature 

imposed, levied, collected, withheld or assessed by or within The Netherlands or any other jurisdiction or 

any political sub-division or any authority therein or thereof having power to tax, unless such withholding 

or deduction is required by law. For the avoidance of doubt, the Issuer shall not be required to gross up any 

payments made to Noteholders of any Class and shall withhold or deduct from any such payments any 

amounts on account of tax where so required by law or any relevant taxing authority. Any such 

withholding or deduction shall not constitute an Issuer Event of Default under Condition 10(a) (Events of 

Default). 

10. Events of Default 

(a) Events of Default: The occurrence of any of the following events shall constitute an “Issuer Event of 

Default”: 

(i) Failure to pay interest: 

(A) 

(B) 

(C) 

(D) 

(E) 

The Issuer fails to pay any interest (other than any Class A1A Increased Margin) in 

respect of the Senior Notes (and any Commitment Fee and Break Costs relating thereto) 

when the same becomes due and payable, 

following redemption and repayment, as applicable, in full of the Senior Notes, the Issuer 

fails to pay any interest on any Class B Note (other than any Class B Deferred Interest), 

when the same becomes due and payable, 

following redemption and repayment, as applicable, in full of the Senior Notes and Class 

B Notes, the Issuer fails to pay any interest on any Class C Note (other than any Class C 

Deferred Interest) when the same becomes due and payable, 

following redemption and repayment, as applicable, in full of the Senior Notes, Class B 

Notes and Class C Notes, the Issuer fails to pay any interest on any Class D Note (other 

than any Class D Deferred Interest) when the same becomes due and payable, 

following redemption and repayment, as applicable, in full of the Senior Notes, Class B 

Notes, Class C Notes and Class D Notes, the Issuer fails to pay any interest on any Class 

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E Note (other than any Class E Deferred Interest) when the same becomes due and 

payable, 

in the case of each of (A), (B), (C), (D) and (E), save as the result of any deduction therefrom or 

the imposition of withholding thereon in the circumstances described in Condition 9 (Taxation) 

and, in the case of each of (A), (B), (C), (D) and (E), other than in circumstances where such 

interest is only payable to the extent that funds are available to make payment thereof pursuant to 

Condition 3(c)(i) (Application of Interest Proceeds on Payment Dates) and 3(c)(iii) (Application of 

Principal Proceeds on Payment Dates)), provided that in the case of each of (A), (B), (C), (D) and 

(E) any such failure to pay such interest continues for a period of five Business Days; 

(ii) Failure to pay principal: The Issuer fails to pay any principal when the same becomes due and 

payable on any Rated Notes on any Redemption Date which failure continues for a period of five 

Business Days; 

(iii) Default under Priorities of Payment: Save to the extent already referred to in paragraphs (i) or (ii) 

above, the Issuer fails on any Payment Date to disburse amounts available in the Euro Payment 

Account or the Sterling Payment Account in accordance with the Priorities of Payment, which 

failure continues for a period of five Business Days; 

(iv) Collateral Debt Securities: On any Measurement Date after the Target Date, in the event that the 

Event of Default Net Portfolio Collateral Balance on such Measurement Date is less than 100 per 

cent. of the aggregate principal amount of the Senior Notes Outstanding; 

(v) Breach of Other Obligations: The Issuer does not perform or comply with any other covenant, or 

other agreement of the Issuer under the Notes, the Trust Deed, the Class A1A Note Purchase 

Agreement or any other Transaction Document (other than pursuant to a covenant or other 

agreement a default in the performance or breach of which is dealt with elsewhere in this 

Condition 10(a) (Events of Default) and other than the failure to meet any Collateral Quality Test, 

Coverage Test or the Reinvestment OC Test), or any representation, warranty or statement of the 

Issuer made in the Trust Deed, the Class A1A Note Purchase Agreement or any other Transaction 

Document or in any certificate or other written notice delivered pursuant thereto or in connection 

therewith ceases to be correct in any material respects when the same shall have been made, and 

the continuation of such default, breach or failure for a period of 30 days (or 15 days, in the case of 

any default, breach or failure of representation or warranty in respect of the Collateral) after notice 

thereof shall have been given by registered or certified mail or overnight courier, to the Issuer by 

the Trustee acting on the directions of a majority in the principal amount outstanding of the 

Controlling Class specifying such default, breach or failure and requiring it to be remedied and 

stating that such notice is a “Notice of Default” hereunder; 

(vi) Insolvency Proceedings: Liquidation proceedings are initiated against the Issuer under any 

applicable liquidation (voluntary or judicial), insolvency, bankruptcy, composition, reorganisation 

or other similar laws (together, “Insolvency Law”), or a receiver, trustee, administrator, custodian, 

liquidator, conservator or other similar official (a “Receiver”) is appointed in relation to the Issuer 

or in relation to the whole or any substantial part of the undertaking or assets of the Issuer; or a 

winding up petition is presented in respect of, or a distress or execution or other process is levied 

or enforced upon or sued out against, the whole or any substantial part of the undertaking or assets 

of the Issuer; or the Issuer becomes or is, or could be deemed by law or a court to be, insolvent or 

bankrupt or unable to pay its debts, or initiates or consents to judicial proceedings relating to itself 

under any applicable Insolvency Law, or seeks the appointment of a Receiver, or makes a 

conveyance or assignment for the benefit of its creditors generally or otherwise becomes subject to 

any reorganisation or amalgamation (other than on terms previously approved in writing by the 

Trustee); 

(vii) Illegality: It is or will become unlawful for the Issuer to perform or comply with any one or more 

of its obligations under the Senior Notes or the Class A1A Note Purchase Agreement or, following 

redemption and repayment, as applicable, in full of the Senior Notes, under the Class B Notes, or, 

following redemption and repayment, as applicable, in full of the Class B Notes, under the Class C 

Notes, or, following redemption and repayment, as applicable, in full of the Class C Notes, under 

the Class D Notes, or, following redemption and repayment, as applicable, in full of the Class D 

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Notes, under the Class E Notes, or following redemption and repayment, as applicable, in full of 

the Class E Notes, under the Class N Notes; or 

(viii) Changes to constitution and merger: The Issuer amends its constitutional documents or merges, 

consolidates with or into, or transfers substantially all of its assets to another person without the 

prior written consent of the Trustee (acting on the directions of a majority in the principal amount 

outstanding of the Controlling Class). 

(b) Curing of Default: At any time after a declaration of acceleration of maturity of the Notes has been 

made following the occurrence of an Issuer Event of Default and prior to enforcement of the security 

pursuant to Condition 11 (Enforcement) by the issuance of an Enforcement Notice, the Trustee at its 

discretion may or, if requested in writing by the holders of at least 66⅔ per cent. in principal amount 

outstanding of the Controlling Class at such time, shall, (in each case, subject to being indemnified 

and/or secured to its satisfaction) rescind and annul such declaration and its consequences if: 

(i) the Issuer has paid or deposited with the Trustee or to its order a sum sufficient to pay: 

(A) 

(B) 

(C) 

(D) 

(E) 

all overdue payments of interest and principal on, and all Class B Deferred Interest, Class 

C Deferred Interest, Class D Deferred Interest and Class E Deferred Interest, as 

applicable, payable in respect of, the Notes other than the Class N Notes and other than 

the Class A1A Increased Margin; 

all due but unpaid taxes owing by the Issuer as certified by an Authorised Officer of the 

Issuer to the Trustee; 

all unpaid Administrative Expenses and Trustee Fees; 

any unpaid Base Collateral Management Fee; 

all amounts due and payable under the Hedge Agreements; and 

(ii) the Trustee has in its opinion determined that all Issuer Events of Default, other than the nonpayment 

of the interest in respect of, or principal of, the Notes that have become due solely by 

such acceleration, have been cured or waived. 

Any previous rescission and annulment of a declaration of acceleration pursuant to this paragraph (b) 

shall not prevent the subsequent acceleration of the Notes if the Trustee is subsequently directed to 

accelerate the Notes in accordance with Condition 10(c) (Acceleration). 

(c) Acceleration 

(i) If an Issuer Event of Default of the type described in Condition 10(a)(vi) (Insolvency Proceedings) 

occurs then each Note of each Class shall immediately become due and payable at its Redemption 

Price without further action or formality. 

(ii) If any Issuer Event of Default (other than one of the type described in Condition 10(a)(vi) 

(Insolvency Proceedings)) occurs and is continuing then, subject to the provisions of the 

Transaction Documents, the Trustee may at any time and shall, upon being (i) so requested in 

writing by the holders of more than 66⅔ per cent. in principal amount outstanding of the 

Controlling Class or so directed by an Extraordinary Resolution of the Controlling Class and (ii) 

indemnified and/or secured to its satisfaction, declare by written notice to the Issuer (an 

“Enforcement Notice”) that each Note of each Class is immediately due and payable, whereupon 

each such Note shall become due and payable at its Redemption Price without further action or 

formality. 

(iii) Notwithstanding the foregoing, so long as any Senior Notes are Outstanding, the Notes will not be 

subject to acceleration by the Trustee if the sole Issuer Event of Default is a result of the failure to 

pay any amount due on the Class B Notes, Class C Notes, Class D Notes, Class E Notes or Class N 

Notes; and so long as any Class B Notes are Outstanding, the Notes will not be subject to 

acceleration by the Trustee if the sole Issuer Event of Default is a result of the failure to pay any 

amount due on the Class C Notes, Class D Notes, Class E Notes or Class N Notes; and so long as 

any Class C Notes are Outstanding, the Notes will not be subject to acceleration by the Trustee if 

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the sole Issuer Event of Default is a result of the failure to pay any amount due on the Class D 

Notes, Class E Notes or the Class N Notes; and so long as any Class D Notes are Outstanding, the 

Notes will not be subject to acceleration by the Trustee if the sole Issuer Event of Default is a 

result of the failure to pay any amount due on the Class E Notes or Class N Notes. For the 

avoidance of doubt, failure to pay any amount due on the Class N Notes will never be an Issuer 

Event of Default which would lead to an acceleration of the Notes. 

(iv) Upon the occurrence of an Issuer Event of Default, the Issuer is required promptly and not later 

than five Business Days of the Issuer becoming aware of the occurrence of an Issuer Event of 

Default to notify the Trustee, the Collateral Manager, the Noteholders and the Rating Agencies, in 

writing. Any Noteholder may notify the Trustee or the Collateral Manager of the occurrence of an 

Issuer Event of Default, but such notification shall be without prejudice to the other provisions of 

this Condition 10 (Events of Default) and of the Trust Deed. If an Issuer Event of Default occurs 

and is continuing, the holders of more than 50 per cent. of the principal amount of any Class of the 

Notes Outstanding may give to the Trustee written notice of such Issuer Event of Default, and the 

Trustee must promptly upon receipt of such notice transmit such notice to the Principal Paying 

Agent for transmission to the holders of the Controlling Class. 

(v) If an Issuer Event of Default occurs and is continuing, the Trustee, except if directed otherwise by 

the Noteholders, will direct the Collateral Manager to retain the Collateral Debt Securities held by 

or on behalf of the Issuer and continue making payments in the manner described above under 

Condition 3 (Status) unless the Trustee in its sole opinion determines (upon expert advice) that the 

anticipated proceeds of a sale or liquidation of the Collateral Debt Securities held by or on behalf 

of the Issuer (after deducting the reasonable expenses of such sale or liquidation) would, together 

with the proceeds of realisation of other Collateral, be sufficient to discharge in full the payments 

required to be made pursuant to the Priority of Payments referred to in Condition 11 

(Enforcement). 

(vi) The Controlling Class may, in certain cases, waive any default with respect to such Notes. 

(d) Restriction on Acceleration of Notes: No acceleration of the Notes shall be permitted pursuant to this 

Condition by any Class of Noteholders other than the Controlling Class as provided in Condition 10(c) 

(Acceleration) or unless and until the acceleration of any other Class of Notes is simultaneous with, or 

occurs subsequent to, acceleration by such Controlling Class. 

(e) Notification and Confirmation of No Default: The Trust Deed contains provision for the Issuer to 

provide written confirmation to the Trustee and the Rating Agencies on an annual basis or on request 

that no Issuer Event of Default has occurred and that no condition, event or act has occurred which, 

with the lapse of time and/or the issue, making or giving of any notice, certification, declaration and/or 

request and/or the taking of any similar action and/or the fulfilment of any similar condition could 

constitute an Issuer Event of Default and that no other matter which is required (pursuant thereto) be 

brought to the Trustee’s attention has occurred, and the Trustee shall be entitled to rely absolutely on 

such written confirmation. 

11. Enforcement 

(a) Security Becoming Enforceable: The security constituted under the Trust Deed over the Collateral 

shall become enforceable upon an acceleration of the maturity of any of the Notes pursuant to 

Condition 10 (Events of Default). 

(b) Enforcement: At any time after the Notes become due and payable and the security under the Trust 

Deed becomes enforceable, the Trustee may, at its discretion and without further notice: 

(i) institute such proceedings against the Issuer as it may think fit to enforce the terms of the Trust 

Deed and realise and/or otherwise liquidate the Collateral; and/or 

(ii) take such action as may be permitted under applicable laws against any obligor in respect of the 

Collateral and/or take any other action to enforce the security over the Collateral, 

in each case without any liability as to the consequence of any action and without having regard (save 

to the extent provided in Condition 14(d) (Entitlement of the Trustee and Conflicts of Interest)) to the 

effect of such action on individual Noteholders of such Class or any other Secured Party. 

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The Trustee shall not be bound to institute any such proceedings or take any such other action unless it 

is (i) requested in writing by the holders of at least 25 per cent. in aggregate principal amount of the 

Notes Outstanding of the Controlling Class at such time; or (ii) directed by an Extraordinary Resolution 

of the Controlling Class at such time; and, in each case the Trustee is indemnified to its satisfaction 

against all liabilities, proceedings, claims and demands to which it may thereby become liable and all 

costs, charges and expenses (including remuneration) which may be incurred by it in connection 

therewith. Following redemption and repayment, as applicable, in full of the Senior Notes, Class B 

Notes, Class C Notes, Class D Notes and Class E Notes, the Trustee shall, (provided it is indemnified 

to its satisfaction against all liabilities, proceedings, claims and demands to which it may thereby 

become liable and all costs, charges and expenses which may be incurred by it in connection 

therewith), if so directed, act upon the written directions of the holders of at least 25 per cent. in 

aggregate principal amount of the Class N Notes Outstanding or as directed by an Extraordinary 

Resolution of the Class N Noteholders. 

The rights of the Trustee in respect of the security over the Collateral will be exercisable in accordance 

with the terms of the Trust Deed. The Trustee shall not be liable for any diminution in value of the 

security over the Collateral at any time that any Note remains Outstanding. 

The net proceeds of enforcement of the security over the Collateral shall be credited to the Euro 

Payment Account or the Sterling Payment Account or such other account as the person(s) entitled to 

direct the Trustee with respect to enforcement (in accordance with the previous paragraph) shall 

designate to the Trustee and shall be distributed in accordance with the following Priorities of Payment. 

The net proceeds of liquidation of the Collateral in the case of the redemption of the Notes pursuant to 

Condition 7(b) (Optional Redemption) shall also be distributed in accordance with the following 

Priorities of Payment. 

(A) 

(B) 

(C) 

(D) 

(E) 

(F) 

to the payment of Dutch taxes owing by the Issuer accrued in respect of the current tax 

year as certified by an Authorised Officer of the Issuer to the Trustee, if any (excluding 

any Dutch taxes which have accrued prior to the current tax year); 

to the payment of accrued and unpaid Trustee Fees payable to the Trustee pursuant to the 

Trust Deed; 

to the payment of Administrative Expenses; 

to the payment, on a pro rata basis, of any amounts due in respect of the Hedge 

Agreements (other than any Subordinated Hedge Termination Payments) and any 

Liquidity Payments due to the Liquidity Facility Provider under the Liquidity Facility 

Agreement (to the extent not paid pursuant to paragraph (C) above as an Administrative 

Expense); 

to the payment to the Collateral Manager of any Base Collateral Management Fee due 

and payable; 

to the payment on a pro rata basis of: 

(1) interest due and payable on the Class A1A Notes and the Class A1B Notes (other than 

Class A1A Increased Margin in respect of the Class A1A Notes); 

(2) interest due and payable on the Class A2 Notes; 

(3) any amounts due and payable in respect of the Commitment Fees and Break Costs on the 

Class A1A Notes; 

(G) 

(H) 

(I) 

on a pro rata basis in redemption and repayment, as applicable, of the Senior Notes in full 

(other than in respect of amounts payable under paragraph (Q) below); 

to the payment of interest due and payable on the Class B Notes (other than any Class B 

Deferred Interest); 

in redemption of the Class B Notes in full (including payment of Class B Deferred 

Interest); 

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(J) 

(K) 

(L) 

(M) 

(N) 

(O) 

(P) 

(Q) 

(R) 

(S) 

(T) 

(U) 

(V) 

to the payment of interest due and payable on the Class C Notes (other than any Class C 


in redemption of the Class C Notes in full (including payment of Class C Deferred 

Interest); 

to the payment of interest due and payable on the Class D Notes (other than any Class D 


in redemption of the Class D Notes in full (including payment of Class D Deferred 

Interest); 

to the payment of interest due and payable on the Class E Notes (other than any Class E 


in redemption of the Class E Notes in full (including payment of Class E Deferred 

Interest); 

to the payment to any Replacement Collateral Manager of any Replacement Collateral 

Manager Subordinated Fee due and payable; 

to the payment on a pro rata basis of accrued and unpaid Class A1A Increased Margin; 

to the payment of any Subordinated Collateral Management Fee due and payable; 

to the payment of the Subordinated Hedge Termination Payments; 

to the payment of any Collateral Manager Termination Amount; 

in redemption of the Class N Notes in full; and 

to the payment of interest due and payable on the Class N Notes. 

For the purposes of this paragraph, any proceeds in Euro or Sterling shall be converted into Sterling or 

Euro as applicable to ensure that all amounts ranking senior in the above priority of payments is paid in 

full before payments of any junior ranking items. 

Notwithstanding anything contained in the Priorities of Payment above, the net proceeds of 

enforcement of the security created by the Trust Deed in favour of the Trustee for the benefit of the 

Liquidity Facility Provider shall be credited to such account as the Liquidity Facility Provider shall 

designate and the Trustee shall hold all moneys received by it under or pursuant to the Trust Deed in 

connection with the realisation or enforcement of all or part of the security created in favour of the 

Trustee for the benefit of the Liquidity Facility Provider, whether before or after the occurrence of an 

Issuer Event of Default, in trust for the benefit of the Liquidity Facility Provider. 

(c) Only Trustee to Act: Subject to the restrictions of any applicable law, only the Trustee may pursue the 

remedies available under the Trust Deed to enforce the rights of the Noteholders or of any of the other 

Secured Parties under the Trust Deed and the Notes and no Noteholder or other Secured Party may 

proceed directly against the Issuer or any of its assets unless the Trustee, having become bound to 

proceed in accordance with the terms of the Trust Deed, fails or neglects to do so within a reasonable 

period and such failure or neglect is continuing. Each Secured Party acknowledges and agrees that the 

obligations of the Issuer following the realisation of the security over the Collateral shall be limited to 

the amount of funds available to the Issuer to satisfy such obligations in accordance with the Priorities 

of Payment and that no Secured Party shall have any further recourse to the Issuer in respect of such 

obligations. In particular, none of the Trustee, any Noteholder or any other Secured Party shall be 

entitled in respect thereof to petition or take any other step for the winding-up of the Issuer. 

(d) Purchase of Collateral by Noteholders: Upon any sale of any part of the Collateral following the 

occurrence of an Issuer Event of Default whether made under the power of sale under the Trust Deed or 

by virtue of judicial proceedings, any Noteholder may bid for and purchase the Collateral or any part 

thereof and, upon compliance with the terms of sale (such terms to be in accordance with the terms of 

126

the Trust Deed or fair market practices if the Trust Deed is not applicable) and, may hold, retain, 

possess or dispose of such property in its or their own absolute right without accountability. 

12. Prescription 

Claims in respect of principal and interest payable on redemption in full of the relevant Notes will become 

void unless presentation for payment is made as required by Condition 8 (Payments) within a period of 5 

years, in the case of interest, and 10 years, in the case of principal, from the appropriate Relevant Date. 

13. Replacement of Definitive Notes 

If any Definitive Note is lost, stolen, mutilated, defaced or destroyed it may be replaced at the specified 

office of the Transfer Agent in London subject in each case to all applicable laws and Irish Stock Exchange 

requirements, upon payment by the claimant of the expenses incurred in connection with such replacement 

and on such terms as to evidence, security, indemnity and otherwise as the Issuer may require (provided 

that the requirement is reasonable in the light of prevailing market practice). Mutilated or defaced 

Definitive Notes must be surrendered before replacements will be issued. 

14. Meetings of Noteholders, Modification, Waiver and Substitution; Removal and Retirement of the 

Trustee 

(a) Meetings of Noteholders: The Trust Deed contains provisions for convening meetings of the 

Noteholders of each Class to consider matters affecting the interests of such Noteholders, including the 

sanctioning by Extraordinary Resolution of the Noteholders of a Class of a modification of certain of 

these Conditions or certain provisions of the Trust Deed. Meetings of the Noteholders of a Class may 

be convened by two or more Noteholders of such Class holding not less than 10 per cent. in principal 

amount of the Notes of that Class Outstanding, or by the Trustee or the Issuer in its own right. Subject 

as follows, the quorum for any meeting convened to consider an Extraordinary Resolution of the 

Noteholders of such Class will be two or more persons holding or representing 66⅔ per cent. in 

principal amount of the Notes of such Class Outstanding, or at any adjourned meeting two or more 

persons being or representing the holders of the Notes of such Class holding or representing 25 per 

cent. of the principal amount of the Notes of such Class Outstanding. No proposal to sanction, 

amongst other things: 

(i) the exchange or substitution for the Notes of the relevant Class, or the conversion of the Notes of 

the relevant Class into, shares, bonds or other obligations or securities of the Issuer or any other 

entity; 

(ii) the modification of any provision relating to the timing and/or circumstances of final redemption 

of the Notes of the relevant Class at maturity (including the circumstances in which payments on 

such Notes may be accelerated); 

(iii) the modification of the timing and/or determination of the amount of interest, principal or other 

amounts payable in respect of the Notes of the relevant Class from time to time; 

(iv) the adjustment of the outstanding principal amount of the Notes of the relevant Class other than in 

connection with a further issue of Notes pursuant to Condition 17 (Further Issues); 

(v) a change in the currency of payment of the Notes of the relevant Class or any other amounts 

payable under the Priorities of Payment; 

(vi) any change in the Priorities of Payment or in the calculation or determination of any amounts 

payable thereunder; 

(vii) the modification of the provisions concerning the quorum required at any meeting of Noteholders 

of the relevant Class or the majority required to pass an Extraordinary Resolution or any other 

provision of these Conditions which requires the written consent of the holders of a requisite 

principal amount of the Notes of any Class Outstanding; and 

(viii) the modification of any provision relating to the security over the Collateral constituted by the 

Trust Deed except as contemplated by these Conditions and the Trust Deed, 

127

each a “Basic Terms Modification”, shall be effective unless sanctioned by an Extraordinary 

Resolution passed at a meeting of Noteholders of the relevant Class of which two or more persons 

holding or representing not less than 66⅔ per cent. or, at any adjourned meeting, 25 per cent. of the 

aggregate principal amount of the Note Outstanding of such Class are held or represented. 

For the avoidance of doubt, matters affecting the interests of a Class shall only be considered by and 

voted upon at a meeting of Noteholders of that relevant Class. 

(b) Modification and Waiver: The Trust Deed provides that the Trustee may, subject to satisfaction of 

certain conditions, without the consent of the Noteholders, consent to: 

(i) any modification of any of the provisions of the Trust Deed or any other Transaction Document 

which in the opinion of the Trustee is of a formal, minor or technical nature or is made to correct a 

manifest error; 

(ii) any other modification (except as mentioned in the Trust Deed), and any waiver or authorisation of 

any breach or proposed breach, of any of the provisions of the Trust Deed and any other 

Transaction Document which is, in the opinion of the Trustee, not materially prejudicial to the 

interests of the Noteholders of any Class; 

(iii) any modification of the calculation of any of the Collateral Quality Tests or the Coverage Tests or 

the Reinvestment OC Test to correspond with changes in the guidelines, methodology or standards 

established by any applicable Rating Agencies, subject to receipt of Rating Agency Confirmation 

and the consent of at least 66⅔ per cent. of the holders of the Senior Notes Outstanding; and 

(iv) any modification to prevent the Issuer, the Noteholders, or the Trustee from being subject to 

withholding or other taxes, fees or assessments or to prevent the Issuer from being treated as 

engaged in a United States trade or business for U.S. federal income tax purposes or subject to 

United States income tax on a net income tax basis. 

In addition, subject to receipt of Rating Agency Confirmation, the Trustee shall not consent to any 

modification of the thresholds of any of the Collateral Quality Tests, without the written consent of at 

least 66⅔ per cent. of the holders of the Senior Notes Outstanding. 

Any such modification, authorisation or waiver shall be binding on all Noteholders and shall be 

notified to the Rating Agencies and, unless the Trustee otherwise agrees, to the Noteholders as soon as 

practicable in accordance with Condition 16 (Notices). 

The Trustee shall not agree to any such modification unless the Trustee has received advice from a 

recognised tax counsel experienced in such matters that (i) the modification will not cause the 

Noteholders to experience any material change to the timing, character or source of the income from 

the Notes for United States federal income tax purposes and will not be considered a significant 

modification resulting in an exchange for purposes of United States Treasury Regulation Section 

1.1001-3 and (ii) the proposed modification will not cause the Issuer to be subject to income tax on a 

net income tax basis in the United States. 

Unless the Trustee agrees otherwise, any such authorisation, waiver or modification shall be notified to 

the Rating Agencies and the Noteholders of such Class as soon as practicable thereafter. 

(c) Substitution: The Trust Deed contains provisions permitting the Trustee to agree, subject to such 

amendment of the Trust Deed and such other conditions as the Trustee may require, but without the 

consent of the Noteholders of any Class, to the substitution of any other company in place of the Issuer, 

or of any previous substituted company, as principal debtor under the Trust Deed and the Notes of each 

Class. In the case of such a substitution, the Trustee may agree, without the consent of the 

Noteholders, but subject to receipt by the Trustee of Rating Agency Confirmation (subject to receipt of 

such information and/or opinions as the Rating Agencies may require) to a change of the law governing 

the Notes and/or the Trust Deed, provided that such change would not in the opinion of the Trustee be 

materially prejudicial to the interests of the Noteholders of any Class. Any substitution agreed by the 

Trustee pursuant to this Condition 14(c) (Substitution) shall be binding on the Noteholders, and shall be 

notified to the Noteholders as soon as practicable in accordance with Condition 16 (Notices). 

128

Subject to a Rating Agency Confirmation, if the Issuer satisfies the Trustee that it has or will on the 

occasion of the next payment due in respect of the Notes of any Class become obliged by the laws of 

The Netherlands to withhold or account for tax so that it would be unable to make payment of the full 

amount then due, the Trustee may, with consent of the Noteholders, agree to the Issuer arranging for 

the substitution of a company incorporated in another jurisdiction approved by the Trustee, subject to 

satisfaction of the conditions set out in the Trust Deed as the principal obligor under the Notes of such 

Class, or to change its tax residence in accordance with the provisions of the Trust Deed with respect of 

such substitution or change. 

The Trustee may, subject to the receipt by the Trustee of Rating Agency Confirmation, agree to a 

change in the place of residence of the Issuer for taxation purposes without the consent of the 

Noteholders of any Class, provided that the Issuer does all such things as the Trustee may require in 

order that such change in the place of residence of the Issuer for taxation purposes is fully effective and 

complies with such other requirements which are in the interests of the Noteholders as it may direct. 

No Noteholder shall, in connection with any substitution or change of residence, be entitled to claim 

any indemnification or payment in respect of any tax consequences thereof for such Noteholder. 

(d) Entitlement of the Trustee and Conflicts of Interest: Where it is entitled to exercise its powers and 

discretions under these Conditions and the Trust Deed, the Trustee will, save as otherwise expressly 

provided, in considering the interests of the Noteholders have regard solely to the interests of the 

Senior Noteholders whilst any principal amount of Senior Notes is outstanding, and if no principal 

amount of the Senior Notes is outstanding, shall have regard solely to the interests of the Class B 

Noteholders, and, if no Class B Notes are Outstanding, shall have regard solely to the interests of the 

Class C Noteholders, and, if no Class C Notes are Outstanding, shall have regard solely to the interests 

of the Class D Noteholders, and, if no Class D Notes are Outstanding, shall have regard solely to the 

interests of the Class E Noteholders, and, if no Class E Notes are Outstanding, shall have regard solely 

to the interests of the Class N Noteholders (subject, in each case, to the aforesaid provisions as to the 

priority of the consideration regarding the Senior Noteholders in certain circumstances) and will not be 

responsible for any consequence for individual holders of Notes of such exercise and the Trustee shall 

not be entitled to require from the Issuer, nor shall any Noteholder be entitled to claim from the Issuer 

or the Trustee, any indemnification or other payment in respect of any consequence for any individual 

Noteholders of any such exercise. Where, in the opinion of the Trustee, a Basic Terms Modification 

gives rise or may give rise to a conflict between the interests of the Class A1A Noteholders, the Class 

A1B Noteholders and the Class A2 Noteholders, the Trustee will require an Extraordinary Resolution 

to be passed by each of them before agreeing to effect the amendments contemplated by such Basic 

Terms Modification. The Trustee shall, save as otherwise expressly provided, not have regard to the 

interests of any Secured Party other than the relevant Class of Noteholders except to apply the proceeds 

of enforcement of the security in the order set out in the Priorities of Payment. 

Except where expressly provided otherwise, where in the opinion of the Trustee, there is a conflict 

between the interests of different Classes of Noteholders, the Trustee shall give priority to the interests 

of the Controlling Class, whose interests shall prevail, and shall act in accordance with the directions of 

such Noteholders. 

(e) Removal and Retirement of the Trustee, Appointment of Co-Trustee: Subject to the detailed terms of 

the Trust Deed, the power to appoint a new trustee under the Trust Deed shall be vested in the Issuer 

but no person shall be appointed who shall not previously have been approved by an Extraordinary 

Resolution of the Controlling Class. The retirement or removal of any trustee under the Trust Deed 

shall not be effective until a successor trustee is appointed in accordance with the terms of the Trust 

Deed. The Controlling Class shall have power, exercisable by Extraordinary Resolution of the holders 

of such class to remove any trustee under the Trust Deed. In the case of such event, the Issuer will use 

its best endeavours to procure a new trustee of the Trust Deed to be appointed as soon as reasonably 

practicable thereafter. The Trustee may retire at any time on giving not less than three months’ prior 

written notice to the Issuer without assigning any reason and without being responsible for any 

liabilities occasioned by such retirement. The Trustee may, upon giving prior written notice to, but 

without the consent of any other person appoint any person established or resident in any jurisdiction to 

act either as a separate trustee or as a co-trustee jointly with the Trustee (i) if the Trustee considers that 

appointment to be in the interests of Noteholders, or (ii) for the purposes of conforming to any legal 

requirements, restrictions or conditions in any jurisdiction in which any particular act or acts are to be 

performed or (iii) for the purposes of obtaining a judgment in any jurisdiction or the enforcement in 

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any jurisdiction of a judgment already obtained against the Issuer. If the sole trustee has been removed 

by an Extraordinary Resolution of the Controlling Class or the sole trustee has provided notice of its 

resignation, and, if the Issuer has failed to procure the appointment of a new trustee within the period of 

3 months following the sole trustee’s receipt of notification of its removal or the provision by the sole 

trustee of its written notice of resignation to the Issuer, then that sole trustee may appoint a successor 

trustee, provided that it must act reasonably in appointing a successor trustee. 

15. Indemnification of the Trustee 

The Trust Deed contain provisions for the indemnification of the Trustee and for its relief from 

responsibility in certain circumstances, including provisions relieving it from any obligation to institute 

proceedings against the Issuer to enforce repayment or to enforce the security constituted by or pursuant to 

the Trust Deed unless indemnified and/or secured to its satisfaction in accordance with the provisions set 

out in the Trust Deed. The Trustee is entitled to enter into business transactions with the Issuer or any 

entity related to the Issuer without accounting for any profit. The Trustee is exempted from any liability in 

respect of any loss or theft of the Collateral, from any obligation to insure, or to monitor the provisions of 

any insurance arrangements in respect of, the Collateral and from any claim arising from the fact that the 

Collateral is held by the Custodian or is otherwise held in safe custody by a bank or other custodian. The 

Trustee shall not be responsible for the performance by the Custodian of any of its duties under the Agency 

Agreement or for the performance by the Collateral Manager of any of its duties under the Collateral 

Management Agreement or for the performance by the Collateral Administrator of its duties under the 

Collateral Administration Agreement or for the performance by any other person appointed by the Issuer in 

relation to the Notes or any other Transaction Document (other than the Trust Deed). The Trustee shall not 

have any responsibility for the administration, management or operation of the Collateral including the 

request by the Collateral Manager to release any of the Collateral from time to time. 

16. Notices 

Notices may be given to Noteholders in any manner deemed acceptable by the Trustee, provided that for so 

long as the Notes are listed on the Irish Stock Exchange, such notice shall be given in accordance with the 

rules of the Irish Stock Exchange. Notices regarding the Notes (other than the Class A1A Notes) will be 

deemed duly given if posted to the address of such Noteholder appearing in the Register at the time of 

publication of such notice by pre-paid, first class mail (or any other manner approved by the Trustee). Any 

such notice shall be deemed to have been given on the date of despatch thereof to the Noteholders. Notices 

to holders of interests in Global Notes held through Euroclear, DTC or Clearstream, Luxembourg (the 

“Clearing Systems”) may be given by delivery of the relevant notice to the relevant Clearing System. 

Any notice to be given to the Noteholders as set out in this Condition 16 (Notices) shall be deemed to be 

validly given to the Class A1A Noteholders if such notice is sent pursuant to the terms of the Class A1A 

Note Purchase Agreement. 

17. Further Issues 

(a) The Issuer may from time to time without the consent of the Noteholders, but subject to the prior 

written consent of the Trustee and the satisfaction of the conditions referred to below, create and issue 

further securities having the same terms and conditions as the Class A1B Notes (the “Class A1B 

Refinancing Notes”) in all respects (or in all respects except for the first payment of interest thereon) 

which shall be consolidated and form a single series with, and rank pari passu with the Class A1B 

Notes then Outstanding, and shall use the net proceeds of issue thereof, subject to the Priorities of 

Payment, to repay amounts outstanding on the Class A1A Notes provided the following conditions are 

met: 

(i) the terms of the Class A1B Refinancing Notes are the same in all respects (or in all respects except 

for the first payment of interest) as the Class A1B Notes then Outstanding; 

(ii) the Rating Agencies confirm to the Trustee in writing that, on issue, they will assign to the Class 

A1B Refinancing Notes the same rating as that which is then applicable to the Class A1B Notes; 

(iii) the Issuer and the Trustee receive confirmation from the Rating Agencies that the additional issue 

of the Class A1B Refinancing Notes will not cause the reduction or withdrawal of the then current 

ratings of any of the Class A1A Notes (if still outstanding) and the other Rated Notes; 

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(iv) no Issuer Event of Default has occurred and is continuing; 

(v) the aggregate principal amount of any Class A1B Refinancing Notes proposed to be issued, 

together with the aggregate principal amount of all Class A1B Notes and Class A2 Notes then 

Outstanding and the aggregate at that time of all principal amounts drawn and any amount 

available for drawing under the Class A1A Notes shall not exceed €198,800,000; 

(vi) the Trustee has been fully indemnified and/or secured to its satisfaction in respect of its fees, costs 

and expenses (including, without limitation, its legal fees and its remuneration) in respect of any 

issue of Class A1B Refinancing Notes; 

(vii) such additional issuances are in accordance with all applicable laws including, without limitation, 

the securities and banking laws and regulations of The Netherlands and the provisions of the tax 

agreement obtained on behalf of the Issuer from the Dutch tax authorities; and 

(viii) recognised tax counsel experienced in such matters have advised that the issue of such Class A1B 

Refinancing Notes will not cause the Noteholders to experience any material change to the timing, 

character or source of the income from the Notes for United States federal income tax purposes 

and will not be considered a significant modification resulting in an exchange for purposes of 

United States Treasury Regulation Section 1.1001-3. 

References in these Conditions to the Class A1B Notes include (unless the context requires otherwise) 

any Class A1B Refinancing Notes issued pursuant to this Condition 17(a) and forming a single series 

with the Class A1B Notes. 

(b) The Issuer may from time to time without the consent of the Noteholders, but subject to the prior 

written consent of the Trustee and the satisfaction of the conditions referred to below, create and issue 

further securities (the “Class A1B Further Issue Notes”, “Class A2 Further Issue Notes”, “Class B 

Further Issue Notes”, “Class C Further Issue Notes”, “Class D Further Issue Notes”, “Class E 

Further Issue Notes” and “Class N Further Issue Notes”, as the case may be and collectively, 

together with the Class A1B Refinancing Notes, the “Further Issue Notes”) having the same terms 

and conditions as the Class A1B Notes, Class A2 Notes, Class B Notes, Class C Notes, Class D Notes, 

Class E Notes and Class N Notes respectively, then Outstanding, in all respects (or in all respects 

except for the first payment of interest thereon), which shall be consolidated and form a single series 

with, and rank pari passu with the Class A1B Notes, the Class A2 Notes, Class B Notes, Class C 

Notes, Class D Notes, Class E Notes and Class N Notes, respectively, then Outstanding, and may use 

the net proceeds of issue thereof, subject to the Priorities of Payment, to purchase Additional Collateral 

Debt Securities (or to place such amounts on deposit in the Principal Collection Account pending 

application accordingly), provided the following conditions are met: 

(i) the terms of the Class A1B Further Issue Notes, Class A2 Further Issue Notes, Class B Further 

Issue Notes, Class C Further Issue Notes, Class D Further Issue Notes, Class E Further Issue Notes 

and Class N Further Issue Notes are the same in all respects (or in all material respects except for 

the first payment of interest) as the Class A1B Notes, the Class A2 Notes, Class B Notes, Class C 

Notes, Class D Notes, Class E Notes and Class N Notes, respectively, then Outstanding (as 

applicable); 

(ii) the Rating Agencies confirm to the Trustee in writing that, on issue, they will assign to the Class 

A1B Further Issue Notes, the Class A2 Further Issue Notes, Class B Further Issue Notes, Class C 

Further Issue Notes, Class D Further Issue Notes and Class E Further Issue Notes issued under this 

Condition 17(b), at least the same rating as that which is then applicable to the Class A1B Notes, 

Class A2 Notes, Class B Notes, Class C Notes, Class D Notes and Class E Notes respectively, then 

Outstanding (as applicable); 

(iii) the Issuer and the Trustee receive confirmation from the Rating Agencies that the issue of the 

Class A1B Further Issue Notes, the Class A2 Further Issue Notes, the Class B Further Issue Notes, 

the Class C Further Issue Notes, the Class D Further Issue Notes, the Class E Further Issue Notes 

and the Class N Further Issue Notes will not cause the reduction or withdrawal of the then current 

ratings of any of the Senior Notes and the other Rated Notes; 

(iv) no Issuer Event of Default has occurred and is continuing; 

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(v) the Trustee has been fully indemnified and/or secured to its satisfaction in respect of its fees, costs 

and expenses (including, without limitation, its legal fees and its remuneration) in respect of any 

issue of Class A1B Further Issue Notes, Class A2 Further Issue Notes, Class B Further Issue 

Notes, Class C Further Issue Notes, Class D Further Issue Notes, Class E Further Issue Notes and 

Class N Further Issue Notes; 

(vi) such additional issuances are in accordance with all applicable laws including, without limitation, 

the securities and banking laws and regulations of The Netherlands and the provisions of the tax 

agreement obtained on behalf of the Issuer from the Dutch tax authorities; 

(vii) recognised tax counsel experienced in such matters have advised that such additional issuances 

will meet the requirements for a “qualified reopening” under United States Treasury Regulation 

Section 1.1275-2(k)(3) or are accomplished in a manner that allows the Issuer and any paying 

agents to comply with their information reporting requirements under U.S. federal income tax law; 

(viii) such additional issuances must be of each Class of the Notes and issued in a proportionate amount 

among the Classes of the Notes so that the respective proportions of the principal amount 

outstanding of the Classes of Notes existing immediately prior to such additional issuance remain 

unchanged following such additional issuance; and 

(ix) unless otherwise agreed to by an Extraordinary Resolution of the Senior Notes, any additional 

issuances of the Class A1B Further Issue Notes will not lead to the aggregate principal amount 

held by the holders of the Class A1B Notes Outstanding which was issued on the Issue Date 

together with all Class A1B Refinancing Notes Outstanding issued after the Issue Date and the 

Total Commitments under the Class A1A Notes issued falling to below 66⅔ per cent. of the 

aggregate principal amount of (1) the Class A1B Notes Outstanding which was issued on the Issue 

Date and (2) all Class A1B Refinancing Notes Outstanding issued after the Issue Date and (3) the 

Total Commitments under the Class A1A Notes Outstanding and (4) the Class A1B Further Issue 

Notes proposed to be issued. 

References in these Conditions to the Class A1B Notes, Class A2 Notes, Class B Notes, Class C Notes, 

Class D Notes, Class E Notes and Class N Notes include (unless the context requires otherwise) any Class 

A1B Further Issue Notes, Class A2 Further Issue Notes, Class B Further Issue Notes, Class C Further Issue 

Notes, Class D Further Issue Notes, Class E Further Issue Notes and Class N Further Issue Notes, 

respectively issued pursuant to this Condition 17(b) and forming a single series with the Class A1B Notes, 

Class A2 Notes, Class B Notes, Class C Notes, Class D Notes, Class E Notes and Class N Notes 

respectively. 

Upon the issue of any Further Issue Notes, references in these Conditions to the Notes of any Class shall 

include (unless the context requires otherwise) the relevant Further Issue Notes. Any Further Issue Notes 

will be constituted by a supplemental Trust Deed and the Issuer shall, upon or prior to the issue of such 

Further Issue Notes to be so constituted, execute and deliver to the Trustee such other documents as the 

Trustee may reasonably require (including, without limitation, any documents required by any Rating 

Agency). Upon an issue of any Further Issue Notes, all relevant Transaction Documents shall be amended 

and supplemented as required to give effect to the rights and obligations arising from such issue of such 

Further Issue Notes. 

18. Governing Law and Jurisdiction 

(a) Governing Law: The Trust Deed, the Class A1A Note Purchase Agreement and each Class of Notes 

are governed by and shall be construed in accordance with English law. The Euroclear Pledge 

Agreement is governed by and shall be construed in accordance with Belgian law. The Management 

Agreement is governed by and shall be construed in accordance with Dutch law. 

(b) Jurisdiction: The courts of England will have jurisdiction to settle any disputes which may arise out of 

or in connection with the Notes, and accordingly any legal action or proceedings arising out of or in 

connection with the Notes (“Proceedings”) may be brought in such courts. Each party to the Trust 

Deed has irrevocably submitted to the jurisdiction of such courts and waives any objection to 

Proceedings in any such courts whether on the ground of venue or on the ground that the Proceedings 

have been brought in an inconvenient forum. 

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(c) Agent for Service of Process: The Issuer appoints Structured Finance Management Limited of 35 Great 

St. Helen’s, London EC3A 6AP as its agent in England to receive service of process in any 

Proceedings in England based on any of the Notes. If for any reason the Issuer does not have such 

agent in England, it will promptly appoint a substitute process agent and notify the Trustee and the 

Noteholders of such appointment. Nothing herein shall affect the right to service of process in any 

other manner permitted by law. 

19. Trustee Act 2000 

The Trust Deed contain provisions which have the effect of giving priority, to the extent permitted by law, 

to the provisions of the Trust Deed over the relevant provisions of the Trustee Act 1925 and the Trustee Act 

2000. 

20. Calculation of amounts not denominated in Euro 

Unless otherwise specified, where a calculation has to be made pursuant to the Conditions and the amounts 

are not denominated in Euro, such amounts shall be calculated by converting such non-Euro amounts into 

Euro at the Issue Date Spot Rate. For the avoidance of doubt, in calculating any Coverage Test, any 

Collateral Quality Test and the Reinvestment OC Test, where the Senior Notes comprises amounts 

denominated in Sterling, such Sterling amounts shall be converted in Euro at the Spot Rate. Each non-Euro 

amount that is received pursuant to a Non-Euro Collateral Debt Security, which is the subject of an Asset 

Swap Transaction, shall be converted into Euro at the Asset Swap Transaction Exchange Rate. 

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USE OF PROCEEDS 

The net proceeds from the issuance and sale of the Notes (other than the Class A1A Notes), together with 

the Total Commitments under the Class A1A Notes (as if they were fully drawn), were approximately 

€310,430,000. These net proceeds of the issue of the Notes were used by the Issuer (i) to fund or make 

provision for certain other fees and expenses of the Issuer up to a maximum of €7,370,000, (ii) to pay an upfront 

fee of €2,631,065 and any applicable VAT payable thereon to the Collateral Manager on the Issue Date, 

(iii) to pay the premium in respect of the Issuer entering into the Initial Hedge Agreement and (iv) any proceeds 

remaining were deposited by the Issuer into the Initial Proceeds Account on the Issue Date, which together with 

any drawings made under the Class A1A Notes, will be applied in the acquisition of Collateral Debt Securities 

subject to the conditions set out herein. See “Description of the Portfolio” below. 

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FORM OF THE NOTES 

References below to Notes and to the Global Note and Definitive Notes representing such Notes are to each 

respective Class of Notes. 

1. Initial Issue of Notes 

Each of the Senior Notes (other than the Class A1B Refinancing Notes and the Class A1A Notes), Class B 

Notes, Class C Notes, Class D Notes, Class E Notes and Class N Notes (each, a “Relevant Class of Notes”) 

sold in reliance on Regulation S under the Securities Act are represented by one or more global note certificates 

(each, a “Regulation S Global Note”) in registered form without interest coupons or principal receipts 

deposited with a common depositary for Euroclear Bank S.A./N.V. as operator of the Euroclear System 

(“Euroclear”) and Clearstream Banking, société anonyme (“Clearstream, Luxembourg”). During the 

Distribution Compliance Period, beneficial interests in a Regulation S Global Note may be held only through 

Euroclear or Clearstream, Luxembourg. See “Book Entry Clearance Procedures” below. By acquisition of a 

beneficial interest in a Regulation S Global Note, any purchaser thereof will, during the Distribution 

Compliance Period, be deemed to represent that it is not a U.S. Person and that, if in the future it decides to 

transfer such beneficial interest, it will transfer such interest only in an offshore transaction in accordance with 

Regulation S or to a person who takes delivery in the form of a Rule 144A Note. 

The Class A1A Notes are represented by a registered note in definitive form without interest coupons or 

principal receipts and were issued pursuant to and in the circumstances specified in the Trust Deed and sold in 

reliance of Regulation S or Rule 144A, substantially in the form set out in the Trust Deed, in the applicable 

Minimum Denominations and integral multiples in excess thereof of the Authorised Denomination. 

The Notes of any Relevant Class of Notes sold in reliance on Rule 144A of the Securities Act are 

represented by one or more global note certificates of such Relevant Class of Notes, in fully registered form 

without interest coupons or principal receipts, (each, a “Rule 144A Global Note”) deposited with a custodian 

for, and registered in the name of Cede & Co. as nominee of, DTC. Beneficial interests in a Rule 144A Global 

Note may only be held through DTC and its direct and indirect participants. See “Book Entry Clearance 

Procedures” below. 

The Regulation S Global Notes and the 144A Global Notes are each referred to as a Global Note and are 

together referred to as the Global Notes. 

2. Amendments to Conditions 

Each Global Note and the Trust Deed contains provisions that apply to the Relevant Class of Notes 

represented by such Global Note, some of which modify the effect of the Conditions of the Relevant Class of 

Notes set out in this Prospectus. The following is a summary of those provisions: 

Ownership: So long as a Clearing System (or its nominee) is the registered holder of any Global Note, such 

Clearing System (or its nominee) will be considered the absolute owner or holder of such Note for all purposes 

under the Trust Deed and the Notes. 

Payments: Payments of principal and interest in respect of Notes represented by a Global Note will be 

made against presentation and, if no further payment falls to be made in respect of the relevant Notes, surrender 

of such Global Note to or to the order of the Registrar or such other Transfer Agent as shall have been notified 

to the relevant Noteholders for such purpose. A record of each payment so made will be made in the Register 

which will be prima facie evidence that such payment has been made in respect of the relevant Notes. See also 

“Currency of Payments” of “Book Entry Clearance Procedures” below. 

Notices: Notices to holders of Global Notes held through Euroclear, DTC or Clearstream, Luxembourg (the 

“Clearing Systems”) may be given by delivery of the relevant notice to the relevant Clearing System provided 

that for so long as the Notes are listed on the Irish Stock Exchange, such notice shall be in accordance with the 

rules of the Irish Stock Exchange. 

Prescription: Claims against the Issuer in respect of principal of and interest on the Notes will become void 

unless presented for payment by the Noteholder within a period of ten years (in the case of principal) and five 

years (in the case of interest) from the appropriate Relevant Date. 

135

Meetings: The holder of each Global Note will be treated as being two persons for the purposes of any 

quorum requirements of, or the right to demand a poll at, a meeting of Noteholders and, at any such meeting, as 

having one vote in respect of each Euro (or, as the case may be, each Sterling) of principal amount of Notes 

represented thereby. 

Trustee’s Powers: In considering the interests of holders of Global Notes, the Trustee may, but is not 

required to, have regard to any information provided to it by the Clearing Systems or operators as to the identity 

(either individually or by category) of their account holders with entitlements to each Global Note and may 

consider such interests as if such account holders were the holders of any Global Note. 

Cancellation: Cancellation of any Note required by the Conditions to be cancelled will be effected by 

reduction in the principal amount of the applicable Global Note. 

Optional Redemption: The Class N Noteholders’ option in Condition 7(b)(i)(A) (Redemption at the Option 

of the Class N Noteholders) or right to consent in Condition 7(b)(i)(B) (Redemption for Tax Reasons) may be 

exercised by the Noteholder of any Global Note representing Class N Notes giving notice to the Registrar of the 

principal amount of Class N Notes in respect of which the option is exercised and presenting such Global Note 

for endorsement of exercise within the time limit specified in Condition 7(b)(i)(A) (Redemption at the Option of 

the Class N Noteholders) or 7(b)(i)(B) (Redemption for Tax Reasons), as applicable. The Controlling Class’ 

right to consent in Condition 7(b)(i)(B) (Redemption for Tax Reasons) may be exercised by the Noteholder of 

any Global Note representing the Controlling Class giving notice to the Registrar of the principal amount of the 

Notes of the Controlling Class in respect of which the option is exercised and presenting such Global Note for 

endorsement of exercise within the time limit specified in Condition 7(b)(i)(B) (Redemption for Tax Reasons). 

3. Exchange for Definitive Notes 

Exchange: Each Global Note will be exchangeable, free of charge to the holders of Notes, on or after its 

Exchange Date (as defined below), in whole but not in part, for certificates in definitive, registered form 

(“Definitive Notes”) if: 

(a) in the case of a Regulation S Global Note, either Euroclear or Clearstream, Luxembourg is closed for 

business for a continuous period of 14 days (other than by reason of holiday, statutory or otherwise) or 

announces an intention permanently to cease business and no alternative clearing system satisfactory to 

the Trustee is available; 

(b) in the case of a Rule 144A Global Note, at any time DTC notifies the Issuer that it is unable or 

unwilling to discharge properly its responsibilities as depositary with respect to the relevant Global 

Note or DTC ceases to be a “clearing agency” registered under the United States Securities Exchange 

Act of 1934, as amended or is at any time no longer eligible to act as such, and the Issuer is unable to 

locate a qualified successor within 90 days of receiving notice of such ineligibility on the part of DTC; 

or 

(c) the Issuer would suffer a material disadvantage in respect of any Class of Notes as a result of a change 

in the laws or regulations (taxation or otherwise) of any applicable jurisdiction or payments being made 

net of tax which would not be suffered were the relevant Notes represented by Definitive Notes and a 

certificate to such effect signed by two Managing Directors of the Issuer is delivered to the Trustee. 

The Registrar will not register the transfer of, or exchange of interests in, a Global Note for Definitive 

Notes for a period of (i) 15 calendar days ending on the due date for redemption in full of that Note or (ii) 15 

calendar days ending on any Payment Date. 

If only one of the Global Notes (the “Exchanged Global Note”) becomes exchangeable for Definitive 

Notes in accordance with the above paragraphs, transfers of the Relevant Class of Notes may not take place 

between, on the one hand, persons holding Definitive Notes issued in exchange for beneficial interests in the 

Exchanged Global Note and, on the other hand, persons wishing to purchase beneficial interests in the other 

Global Note. 

If the Issuer becomes obliged to issue, or procure the issue of, Definitive Notes, but fails to do so within 30 

days of the occurrence of the relevant event, then the Issuer shall indemnify the Trustee, the registered holder of 

the relevant Global Note and the relevant holder of Book Entry Interests in such Global Note and keep them 

indemnified against any loss or damage incurred by any of them if the amount received by the Trustee, the 

registered holder of the relevant Global Note or the holder of Book Entry Interests in such Global Note in 

136

espect of the Notes is less than the amount that would have been received had Definitive Notes been issued. If 

and for so long as the Issuer discharges its obligations under this indemnity, the failure by the Issuer to issue 

Definitive Notes shall be deemed to be cured ab initio. 

“Exchange Date” means a day falling not less than 30 days after that on which the notice requiring 

exchange is given and on which banks are open for general business in the city in which the specified office of 

the Registrar and any Transfer Agent is located. 

Delivery: In the circumstances set out in “Exchange” above, the relevant Global Note will be exchanged in 

full for Definitive Notes and the Issuer will, at the cost of the Issuer (but against such indemnity as the Registrar 

or any relevant Transfer Agent may require in respect of any tax or other duty of whatever nature which may be 

levied or imposed in connection with such exchange), cause sufficient Definitive Notes to be executed and 

delivered to the Registrar for completion, authentication and dispatch to the relevant Noteholders. A person 

having an interest in a Global Note must provide the Registrar with (a) a written order containing instructions 

and such other information as the Issuer and the Registrar may require to complete, execute and deliver such 

Definitive Notes and (b) in the case of the Rule 144A Global Note only, a fully completed, signed certification 

substantially to the effect that the exchanging holder is not transferring its interest at the time of such exchange 

or, in the case of simultaneous sale pursuant to Rule 144A, a certification to the effect that, among other things, 

the transfer is being made in compliance with the provisions of Rule 144A. Definitive Notes issued in exchange 

for a beneficial interest in the Rule 144A Global Note shall bear the legends applicable to transfers pursuant to 

Rule 144A, as set out under “Plan of Distribution and Transfer Restrictions” below. No owner of an interest in 

a Regulation S Global Note will be entitled to receive a Definitive Note (a) until after the expiration of the 

Distribution Compliance Period and (b) unless (i) for a person other than a distributor (as defined in Regulation 

S), such person provides certification that the Definitive Note is beneficially owned by a person that is not a 

U.S. Person (as defined in Regulation S) or (ii) for a person that is a U.S. Person, such person provides 

certification that any interest in such Definitive Note was purchased in an offshore transaction pursuant to Rule 

904 under Regulation S. 

Legends: The holder of a Definitive Note may transfer the Notes represented thereby in whole or in part in 

the applicable Minimum Denomination and integral multiples of the Authorised Denomination in excess of the 

Minimum Denomination by surrendering it at the specified office of the Registrar or any Transfer Agent, 

together with the completed form of transfer thereon. Upon the transfer, exchange or replacement of a 

Definitive Note bearing the legend referred to under “Plan of Distribution and Transfer Restrictions” below, or 

upon specific request for removal of the legend on a Definitive Note, the Issuer will deliver only Definitive 

Notes that bear such legend, or will refuse to remove such legend, as the case may be, unless there is delivered 

to the Issuer and the Registrar such satisfactory evidence, which may include an opinion of counsel, as may 

reasonably be required by the Issuer that neither the legend nor the restrictions on transfer set forth therein are 

required to ensure compliance with the provisions of the Securities Act and the Investment Company Act. 

137

BOOK ENTRY CLEARANCE PROCEDURES 

The information set out below has been obtained from sources that the Issuer believes to be reliable, but 

prospective investors are advised to make their own enquiries as to such procedures. In particular, such 

information is subject to any change in or reinterpretation of the rules, regulations and procedures of DTC, 

Euroclear or Clearstream, Luxembourg (together, the Clearing Systems) currently in effect and investors 

wishing to use the facilities of any of the Clearing Systems are therefore advised to confirm the continued 

applicability of the rules, regulations and procedures of the relevant Clearing System. None of the Issuer, the 

Trustee, the Initial Purchaser or any party to the Agency Agreement (or any Affiliate of any of the above, or any 

person by whom any of the above is controlled for the purposes of the Securities Act), have any responsibility 

for the performance by the Clearing Systems or their respective direct or indirect participants or 

accountholders of their respective obligations under the rules and procedures governing their operations or for 

the sufficiency for any purpose of the arrangements described below. 

1. Euroclear, Clearstream, Luxembourg and DTC 

General: Custodial and depositary links have been established between Euroclear and Clearstream, 

Luxembourg and DTC which facilitate the initial issue of the Notes (other than the Class A1A Notes) and cross 

market transfers of such Notes associated with secondary market trading. (See Section 4 (Settlement and 

Transfer of Notes) below.) 

Euroclear and Clearstream, Luxembourg: Euroclear and Clearstream, Luxembourg each hold securities for 

their customers and facilitate the clearance and settlement of securities transactions through electronic book 

entry transfer between their respective accountholders. Indirect access to Euroclear and Clearstream, 

Luxembourg is available to other institutions which clear through or maintain a custodial relationship with an 

accountholder of either system. Euroclear and Clearstream, Luxembourg have established an electronic bridge 

between their two systems across which their respective customers may settle trades with each other. Investors 

may hold their interests in a Regulation S Global Note directly through Euroclear or Clearstream, Luxembourg 

if they are accountholders (together with Direct DTC Participants (as defined below), “Direct Participants”) or 

indirectly (together with Indirect DTC Participants (as defined below), “Indirect Participants”; and Indirect 

Participants, together with Direct Participants, “Participants”) through organisations which are accountholders 

therein. 

DTC: DTC has advised the Issuer that DTC is a limited purpose trust company organised under the laws of 

the State of New York, a “banking organisation” under the laws of the State of New York, a member of the U.S. 

Federal Reserve System, a “clearing corporation” within the meaning of the New York Uniform Commercial 

Code and a “clearing agency” registered pursuant to the provisions of Section 17A of the Exchange Act. DTC 

was created to hold securities for its participants and facilitate the clearance and settlement of securities 

transactions between participants through electronic computerised book entry changes in accounts of its 

participants, thereby eliminating the need for physical movement of certificates. Direct participants include 

securities brokers and dealers, banks, trust companies, clearing corporations and certain other organisations. 

Indirect access to DTC is available to others, such as banks, securities brokers, dealers and trust companies, that 

clear through or maintain a custodial relationship with a DTC direct participant, either directly or indirectly. 

Investors may hold their interests in a Rule 144A Global Note directly through DTC if they are participants 

(“Direct DTC Participants”) in the DTC system, or indirectly through organisations which are participants in 

such system (“Indirect DTC Participants” and together with Direct DTC Participants, “DTC Participants”). 

DTC has advised the Issuer that it will take any action permitted to be taken by a Noteholder (including, 

without limitation, the presentation of Global Notes for exchange as described above) only at the direction of 

one or more DTC Participants in whose accounts with DTC interests in Rule 144A Global Notes are credited 

and only in respect of such portion of the aggregate principal amount of the relevant Rule 144A Global Notes as 

to which such DTC Participant or DTC Participants has or have given such direction. However, in the limited 

circumstances described in Section 3 (Exchange for Definitive Notes) under “Form of the Notes” above, DTC 

will surrender the relevant Rule 144A Global Notes for exchange for individual Definitive Notes (which will 

bear the legend applicable to transfers pursuant to Rule 144A). 

138

2. Book Entry Ownership 

Euroclear and Clearstream, Luxembourg: Each Regulation S Global Note has an ISIN and a Common 

Code and is registered in the name of a nominee for, and deposited with a common depository on behalf of, 

Euroclear and Clearstream, Luxembourg. 

DTC: Each Rule 144A Global Note has a CUSIP number and has been deposited with a custodian (the 

“DTC Custodian”) for, and registered in the name of Cede & Co. as nominee of, DTC. The DTC Custodian 

and DTC electronically records the principal amount of the Notes held within the DTC system. 

3. Payments and Relationship of Participants with Clearing Systems 

General: Each of the persons shown in the records of Euroclear, Clearstream, Luxembourg or DTC as the 

holder of a Note represented by a Global Note must look solely to Euroclear, Clearstream, Luxembourg or DTC 

(as the case may be) for his share of each payment made by the Issuer to the holder of such Global Note (save in 

the case of payments not effected in U.S. dollars pursuant to separate payment arrangements outside DTC, as 

referred to below) and in relation to all other rights arising under the Global Note, subject to and in accordance 

with the respective rules and procedures of Euroclear, Clearstream, Luxembourg or DTC (as the case may be). 

Such persons shall have no claim directly against the Issuer in respect of payments due on the Notes for so long 

as the Notes are represented by such Global Note and the obligations of the Issuer will be discharged by 

payment to the holder of such Global Note in respect of each amount so paid. None of the Issuer, the Trustee or 

any Agent will have any responsibility or liability for any aspect of the records relating to or payments made on 

account of ownership interests in any Global Note or for maintaining, supervising or reviewing any records 

relating to such ownership interests. 

Currency of Payments: Payments of principal and interest in respect of Rule 144A Global Notes will be 

made in accordance with the following provisions: 

(a) in the case of those DTC Participants entitled to receive the relevant payment who have made an 

irrevocable election to DTC, in the case of interest payments, on or prior to the third DTC Business 

Day (as defined below) after the Record Date for the relevant payment of interest and, in the case of 

principal payments, at least 12 DTC Business Days prior to the relevant payment date of principal, to 

receive such payment in the relevant currency, by wire transfer in immediately available funds to the 

bank account designated by such Noteholder in such election notice in such currency; and 

(b) in the case of those DTC Participants entitled to receive the relevant payment who have made no such 

election, by conversion of such amounts into U.S. dollars by the Exchange Rate Agent and delivery 

thereof by the Exchange Rate Agent, after converting amounts in such currency into U.S. dollars, in 

same day funds to DTC for payment through its settlement system to those DTC Participants entitled to 

receive Euro. The Agency Agreement sets out the manner in which such conversions are to be made. 

“DTC Business Day” means a day on which DTC is open for business. 

4. Settlement and Transfer of Notes 

General: Subject to the rules and procedures of each applicable Clearing System, purchases of Notes held 

through a Clearing System must be made by or through Direct Participants, which will receive a credit for such 

Notes on the Clearing System’s records. The ownership interest of each actual purchaser of each such Note (the 

“Beneficial Owner”) will in turn be recorded on the records of the Direct Participant or Indirect Participant (as 

the case may be). Beneficial Owners will not receive written confirmation from any Clearing System of their 

purchase. Transfers of ownership interests in Notes held through a Clearing System will be effected by entries 

made on the books of Participants acting on behalf of Beneficial Owners. Beneficial Owners will not receive 

certificates representing their ownership interest in such Notes unless and until any Global Note in respect of 

which they have such an ownership interest held through a Clearing System is exchanged for Definitive Notes. 

The Notes represented by the Rule 144A Global Notes are expected to be eligible to trade in the PORTAL 

market. 

The laws of some states in the United States require that certain persons take physical delivery in definitive 

form of securities. Consequently, the ability to transfer interests in a Global Note to such persons may be 

limited. Because DTC can only act on behalf of DTC Participants, who in turn act on behalf of Indirect DTC 

Participants, the ability of a person having an interest in a Rule 144A Global Note to pledge such interest to 

139

persons or entities that do not participate in DTC, or otherwise take actions in respect of such interest, may be 

affected by a lack of a physical certificate in respect of such interest. 

Trading between Euroclear and/or Clearstream, Luxembourg Participants: Secondary market sales of 

book entry interests in Notes held through Euroclear or Clearstream, Luxembourg to purchasers of book entry 

interests in Notes held through Euroclear or Clearstream, Luxembourg will be conducted in accordance with the 

normal rules and operating procedures of Euroclear and Clearstream, Luxembourg and will be settled using the 

procedures applicable to conventional Eurobonds. 

An owner of a beneficial interest in a Regulation S Global Note may transfer such interest in the form of a 

beneficial interest in such Regulation S Global Note without the provision of written certification, provided that 

(1) prior to the expiration of the Distribution Compliance Period such transfer is not made to a U.S. Person or 

for the account or benefit of a U.S. Person and is effected through Euroclear or Clearstream, Luxembourg in an 

offshore transaction as required by Regulation S and (2) after the expiration of the Distribution Compliance 

Period, any transfer not effected in an offshore transaction in accordance with Rule 904 of Regulation S may be 

made only upon provision to the Registrar of written certification from the transferee and transferor in the form 

provided for in the Trust Deed. 

Trading between DTC Participants: Secondary market sales of book entry interests in Notes between DTC 

Participants will occur in the ordinary way in accordance with DTC rules and will be settled using the 

procedures applicable to United States corporate debt obligations in DTC’s Same Day Funds Settlement (SDFS) 

system in same day funds, if payment is effected in U.S. dollars, or free of charge, if payment is not effected in 

U.S. dollars. Where payment is not effected in U.S. dollars, separate payment arrangements outside DTC are 

required to be made between the DTC Participants. 

An owner of a beneficial interest in a Rule 144A Global Note may transfer such interest in the form of a 

beneficial interest in such Rule 144A Global Note without the provision of written certification if the transferee 

is a Qualified Institutional Buyer. 

Trading between DTC seller and Euroclear/Clearstream, Luxembourg purchaser: When book entry 

interests in Notes are to be transferred from the account of a DTC Participant holding a beneficial interest in a 

Rule 144A Global Note to the account of an Euroclear or Clearstream, Luxembourg accountholder wishing to 

purchase a beneficial interest in a Regulation S Global Note (subject to any certification procedures, if 

applicable, provided in the Trust Deed), the DTC Participant will deliver instructions for delivery to the 

Euroclear or Clearstream, Luxembourg accountholder to DTC by 12.00 noon, New York time, on the settlement 

date. Separate payment arrangements are required to be made between the DTC Participant and Euroclear or 

Clearstream, Luxembourg Participant. On the settlement date, the DTC Custodian of the Rule 144A Global 

Note will instruct the Registrar to (i) decrease the principal amount of Notes registered in the name of Cede & 

Co., and evidenced by the Rule 144A Global Note of the Relevant Class of Notes and (ii) increase the principal 

amount of Notes registered in the name of the nominee of the common depositary for Euroclear and 

Clearstream, Luxembourg and evidenced by the Regulation S Global Note. Book entry interests will be 

delivered free of charge to Euroclear or Clearstream, Luxembourg, as the case may be, for credit to the relevant 

accountholder on the first Business Day following the settlement date. 

An owner of a beneficial interest in a Rule 144A Global Note may transfer such interest to a transferee who 

takes delivery of such interest through a Regulation S Global Note prior to the expiration of the Distribution 

Compliance Period only upon provision to the Registrar of written certification from the transferor in the form 

provided in the Trust Deed to the effect that such transfer is being made in an offshore transaction (within the 

meaning of Regulation S) in accordance with Regulation S. 

Trading between Euroclear/Clearstream, Luxembourg seller and DTC purchaser: When book entry 

interests in the Notes are to be transferred from the account of an Euroclear or Clearstream, Luxembourg 

accountholder to the account of a DTC Participant wishing to purchase a beneficial interest in a Rule 144A 

Global Note (subject to any certification procedures, if applicable, provided in the Trust Deed), the Euroclear or 

Clearstream, Luxembourg Participant must send to Euroclear or Clearstream, Luxembourg delivery free of 

charge instructions by 7.45 p.m., Brussels or Luxembourg time respectively, one Business Day prior to the 

settlement date. Euroclear or Clearstream, Luxembourg, as the case may be, will in turn transmit appropriate 

instructions to the common depositary for Euroclear and Clearstream, Luxembourg and the Registrar to arrange 

delivery to the DTC Participant on the settlement date. Separate payment arrangements are required to be made 

between the DTC Participant and Euroclear or Clearstream, Luxembourg accountholder, as the case may be. On 

the settlement date, the common depositary for Euroclear and Clearstream, Luxembourg will (a) transmit 

140

appropriate instructions to the DTC Custodian of the Rule 144A Global Note who will in turn deliver such book 

entry interests in the Notes free of charge to the relevant account of the DTC Participant and (b) instruct the 

Registrar to (i) decrease the amount of Notes registered in the name of the nominee of the common depositary 

for Euroclear and Clearstream, Luxembourg and evidenced by the Regulation S Global Note and (ii) increase 

the principal amount of Notes registered in the name of Cede & Co. and evidenced by the Rule 144A Global 

Note. 

An owner of a beneficial interest in a Regulation S Global Note may transfer such interest to a transferee 

who takes delivery of such interest through a Rule 144A Global Note only upon provision to the Registrar of 

written certifications from the transferor of the beneficial interest in the form provided in the Trust Deed to the 

effect that, among other things, such transfer is being made to a person whom the transferor reasonably believes 

is a Qualified Institutional Buyer, acquiring the Notes for its own account and to whom notice is given that the 

resale, pledge or other transfer is being made in reliance on an exemption from the registration requirements of 

the Securities Act, and (b) in accordance with any applicable securities laws of any state of the United States 

and any other relevant jurisdiction and from the transferee in the form provided for in the Trust Deed. 

Although DTC, Clearstream, Luxembourg and Euroclear have agreed to the foregoing procedures in order 

to facilitate transfers of beneficial interests in Global Notes among Participants and accountholders of DTC, 

Clearstream, Luxembourg and Euroclear, they are under no obligation to continue to perform such procedures, 

and such procedures may be discontinued at any time. None of the Issuer, the Trustee or any Agent will have 

any responsibility for the performance by DTC, Clearstream, Luxembourg or Euroclear or their respective 

Participants of their respective obligations under the rules and procedures governing their operations. 

Pre issue Trades Settlement: It is expected that delivery of the Notes (other than the Class A1A Notes) will 

be made against payment therefor on the Issue Date, which could be more than three Business Days following 

the date of pricing. Under Rule 15c6-1 of the Exchange Act, trades in the United States secondary market 

generally are required to settle within three Business Days (T+3), unless the parties to any such trade expressly 

agree otherwise. Accordingly, purchasers who wish to trade Notes in the United States on the date of pricing or 

the next succeeding Business Days until the Issue Date will be required, by virtue of the fact the Notes initially 

will settle beyond T+3, to specify an alternate settlement cycle at the time of any such trade to prevent a failed 

settlement. Settlement procedures in other countries will vary. Purchasers of the Notes may be affected by such 

local settlement practices and purchasers of Notes who wish to trade Notes between the date of pricing and the 

Issue Date should consult their own adviser. 

5. Class A1A Notes 

For the avoidance of doubt, the Class A1A Notes will not be cleared through any of Euroclear, Clearstream, 

Luxembourg or DTC. 

141

RATING OF THE RATED NOTES 

It was a condition of the issuance and offering that the Senior Notes and the other Rated Notes be issued 

with at least the following ratings assigned: Senior Notes: “AAA” by Fitch and “AAA” by S&P; Class B Notes: 

“AA” by Fitch and “AA” by S&P; Class C Notes: “A” by Fitch and “A” by S&P; Class D Notes: “BBB” by 

Fitch and “BBB” by S&P; Class E Notes: “BB” by Fitch and “BB” by S&P. The Class N Notes being offered 

hereby are not rated. 

The ratings of the Senior Notes address the timely payment of interest and the ultimate repayment of 

principal by the Maturity Date. The ratings of the Class B Notes, the Class C Notes, the Class D Notes and the 

Class E Notes address the ultimate (rather than timely) payment of interest and ultimate repayment of principal 

by the Maturity Date. 

The ratings assigned to the Senior Notes and the other Rated Notes by the Rating Agencies are based upon 

their assessment of the probability that the Collateral Debt Securities will provide sufficient funds to pay all 

amounts due under the Senior Notes and each other Class of the Rated Notes, based largely upon the Rating 

Agencies’ statistical analysis of historical default rates on debt obligations with various ratings, the asset and 

interest coverage required for the Senior Notes and each other Class of the Rated Notes (which is achieved 

through the subordination of the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes and the 

Class N Notes (in the case of the Senior Notes), the subordination of the Class C Notes, the Class D Notes, the 

Class E Notes and the Class N Notes (in respect of the Class B Notes), the subordination of the Class D Notes, 

the Class E Notes and the Class N Notes (in respect of the Class C Notes), the subordination of the Class E 

Notes and the Class N Notes (in the case of the Class D Notes) and the subordination of the Class N Notes (in 

the case of the Class E Notes) and the diversification requirements that the Collateral Debt Securities are 

required to satisfy. 

The ratings assigned to the Notes rated by Fitch are based upon its assessments of the probability that the 

Collateral Debt Securities will provide sufficient funds to pay each such Class of Notes based largely upon Fitch 

statistical analysis of historical default rates on debt obligations with various ratings and the asset and interest 

coverage required for the relevant Class of Notes. 

Fitch analyses the likelihood that each Collateral Debt Security will default, based on historical default rates 

for similar debt obligations, the historical volatility of such default rates (which increases as securities with 

lower ratings are added to the portfolio) and an additional default assumption to account for future fluctuations 

in defaults. Fitch then determines the level of credit protection necessary based on a specific percentile of the 

portfolio default distribution determined by the Weighted Average Fitch Rating Factor which takes into account 

the correlation between assets in the portfolio based on the level of diversification by region, issuer and industry. 

The results of a statistical analysis are incorporated into a cash flow model built to mimic the structure of the 

transaction. In this regard, the results of several default scenarios, in conjunction with various qualitative tests 

(e.g., analysis of the strength of the portfolio manager), are used to determine the credit enhancement required to 

support a particular rating. 

There can be no assurance that the actual loss on the Collateral Debt Securities will not exceed those 

assumed in the application of Fitch models or Fitch Recovery Rates and the timing of recovery with respect 

thereto will not differ from those assumed by Fitch in its model. Neither the Issuer nor the Collateral Manager 

makes any representations as to the expected rate of defaults on the Portfolio or as to the expected timing of any 

defaults that may occur. The rating of the Notes by Fitch will be established under various assumptions and 

scenario analysis. 

There can be no assurance that actual defaults on the Collateral Debt Securities will not exceed those 

assumed by Fitch in its analysis, or that recovery rates with respect thereto (and consequently loss rates) will not 

differ from those assumed by Fitch. 

S&P will rate the Senior Notes and the other Rated Notes in a manner similar to the manner in which it 

rates other structured issues. This requires an analysis of the following: 

(a) the credit quality of the portfolio of Collateral Debt Securities securing the Notes; 

(b) the cash flow used to pay liabilities and the priorities of these payments; and 

(c) legal considerations. 

142

Based on these analyses, S&P determines the necessary level of credit enhancement needed to achieve a 

desired rating. S&P analysis includes the application of its proprietary default expectation computer model (the 

“CDO Evaluator”), which is used to estimate the default rate S&P projects the Portfolio is likely to experience 

and which will be provided to the Collateral Manager on or before the Issue Date. The CDO Evaluator 

calculates the cumulative default rate of a pool of Collateral Debt Securities and Eligible Investments consistent 

with a specified benchmark rating level based upon S&P proprietary corporate debt default studies. The CDO 

Evaluator takes into consideration the rating of each issuer or obligor, the number of issuers or obligors, the 

issuer or obligor industry concentration, country of origin and the remaining weighted average maturity of each 

of the Collateral Debt Securities included in the Portfolio. The risks posed by these variables are accounted for 

by effectively adjusting the necessary default level needed to achieve a desired rating. The higher the desired 

rating, the higher the level of defaults the Portfolio must withstand. For example, the higher the issuer or 

obligor industry concentration or the longer the weighted average maturity, the higher the default level is 

assumed to be. 

Credit enhancement to support a particular rating is then provided on the results of the CDO Evaluator, as 

well as other more qualitative considerations such as legal issues and management capabilities. Credit 

enhancement is typically provided by a combination of overcollateralisation/subordination, cash 

collateral/reserve account, excess spread/interest and amortisation. A cash flow model (the “Transaction 

Specific Cash Flow Model”) prepared by the seller or adviser is used to evaluate the portfolio and determine 

whether it can comfortably withstand the estimated level of default while fully repaying the class of debt under 

consideration. 

There can be no assurance that actual losses on the Collateral Debt Securities will not exceed those assumed 

in the application of the CDO Evaluator or that recovery rates and the timing of recovery with respect thereto 

will not differ from those assumed in the Transaction Specific Cash Flow Model. None of S&P, the Issuer, the 

Collateral Manager, the Collateral Administrator, the Trustee or the Initial Purchaser makes any representation 

as to the expected rate of defaults on the Portfolio or as to the expected timing of any defaults that may occur. 

After the Reinvestment Period, the CDO Evaluator Test will be satisfied if after giving effect to the purchase or 

sale of a Collateral Debt Security, the rate of defaults on the then current Portfolio is no worse than that 

determined in respect of the Portfolio existing on the Issue Date. 

S&P ratings of the Senior Notes and the other Rated Notes were established under various assumptions and 

scenario analyses. There can be no assurance that actual defaults on the Collateral Debt Securities will not 

exceed those assumed by S&P in its analysis, or that recovery rates with respect thereto (and, consequently, loss 

rates) will not differ from those assumed by S&P. 

In addition to these quantitative tests, the Rating Agencies’ ratings take into account qualitative features of 

a transaction, including the experience of the Collateral Manager, the legal structure and the risks associated 

with such structure and other factors that they deem relevant. 

In addition, a portion of the Collateral Debt Securities will not be rated by the Rating Agencies but will be 

assigned a rating pursuant to the methodology described herein. See “Description of the Portfolio—The 

Collateral Quality Tests” below. 

The Collateral Manager will request the Rating Agencies’ confirmation, within 30 days after the Target 

Date, that there has been no Target Date Rating Downgrade. 

None of the Issuer, the Trustee, the Collateral Manager, the Collateral Administrator, the Capital 

Commitment Registrar or the Initial Purchaser makes any representation as to the expected rate of default on the 

Collateral Debt Securities, the expected timing of any default that may occur or the rate of recoveries or losses 

in respect of Defaulted Securities. 

Prospective investors must seek their own advice and make appropriate determinations and decisions 

thereunder. 

143

DESCRIPTION OF THE ISSUER 

General 

The Issuer, is a special purpose company, set up as a private company with limited liability (besloten 

vennootschap met beperkte aansprakelijkheid) incorporated under the laws of The Netherlands on 4 April 2007 

having its corporate seat in Amsterdam and its registered office at Rivierstaete Building, Amsteldijk 166, 1079 

LH Amsterdam, The Netherlands. The Issuer’s telephone number +31 (0)20644 4558. The Issuer is registered 

in the commercial register of the Chamber of Commerce and Industries for Amsterdam under number 

34271100. 

Corporate Purpose of the Issuer 

The Articles of Association (the “Articles”) of the Issuer provide that the objects of the Issuer are: 

(a) to raise funds through, inter alia, borrowing under loan agreements, the issuance of bonds, notes and 

other evidences of indebtedness, the use of financial derivatives or otherwise and to invest and put out 

funds obtained by the Issuer in, inter alia, (interests in) loans, bonds, debt instruments and other 

evidences of indebtedness, shares, warrants and other similar securities and other financial derivatives; 

(b) to grant security for the Issuer’s obligations and debts; 

(c) to enter into agreements, including, but not limited to, financial derivatives such as interest and/or 

currency exchange agreements, in connection with the objects mentioned under paragraphs (a) and (b); 

(d) to enter into agreements, including, but not limited to, bank, securities and cash administration 

agreements, asset management agreements and agreements creating security in connection with the 

objects mentioned under paragraphs (a), (b) and (c) above. 

Business Activity 

The Issuer has not previously carried on any business or activities other than those incidental to its 

incorporation, the acquisition of the Portfolio, the authorisation and issue of the Notes and activities incidental 

to the exercise of its rights and compliance with its obligations under the Notes, the Transaction Documents and 

the other documents and agreements entered into in connection with the issue of the Notes and the purchase of 

the Portfolio. 

Management 

The Issuer’s current Managing Directors are: 

Shareen Leijdesdorff- 

Perret Gentil 

Name Occupation Business Address 

Supervisory Director of Structured 

Finance Management (Netherlands) B.V. 

Rivierstaete Building, Amsteldijk 166, 

1079 LH Amsterdam, The Netherlands 

Geert Kruizinga 

Henry Samuel Leijdesdorff 

Managing Director of Structured Finance 

Management (Netherlands) B.V. 

Managing Director of Structured Finance 

Management (Netherlands) B.V. 





Pursuant to a management agreement (the “Management Agreement”), the Managing Directors provide 

management, corporate and administrative services to the Issuer. The Issuer may terminate the Management 

Agreement by giving not less than 60 days’ written notice. The Managing Directors may retire from their 

obligations pursuant to the Management Agreement by giving at least two months’ notice in writing to the 

Issuer. Upon or prior to the termination of the Management Agreement, successor managing directors will be 

appointed to provide management, corporate and administrative services to the Issuer. 

Managing Director’s Experience 

Mrs. Shareen Leijdesdorff-Perret Gentil is a lawyer, graduate of the “Vrije Universiteit” in Amsterdam. She 

has past working experience with MeesPierson Trust in Curaçao, where she was working as a legal assistant and 

144

account manager. In September 1995 she was a founder and became a managing director of IMFC Management 

B.V. a company specialising in the management and administration of holding and finance companies. Mrs. 

Perret Gentil was appointed as a supervisory director of Structured Finance Management (Netherlands) B.V. in 

October 2005. 

Mr. Geert Kruizinga is a Higher National Business School graduate, specialised in accounting. He worked 

for the Citco Group in Curaçao and Amsterdam as an accountant and senior account manager in the Mutual 

Fund Administration Department for over 12 years. Mr. Kruizinga joined IMFC in 1999 as the finance director. 

Mr. Kruizinga was appointed as a managing director of Structured Finance Management (Netherlands) B.V. in 

October 2005. Mr. Kruizinga is responsible for the accounting department of Structured Finance Management 

(Netherlands) B.V. 

Mr. Henry S. Leijdesdorff is a lawyer, graduate of the University of Leiden. He started his professional 

career in 1980 with the trust division of the Citco Group in Curaçao. After his four-year stay in the Caribbean, 

he moved to the offices of Citco in Amsterdam where he was the managing director from 1991. In September 

1995 he was a founder and became a managing director of IMFC Management B.V. Mr. Leijdesdorff was 

appointed as a managing director of Structured Finance Management (Netherlands) B.V. in October 2005. 

Structured Finance Management (Netherlands) B.V. specialises in the management, administration and 

ownership of special purpose vehicles related to asset securitisation and other secured finance transactions. 

Capital and Shares 

The Issuer’s issued share capital is €20,000, which is fully paid up and divided into 20 shares with a 

nominal value of €1,000 each. 

Capitalisation 

The capitalisation of the Issuer as at the date of this Prospectus, adjusted for the issue of the Notes and the 

Total Commitments, is as follows: 

Share Capital € 

Issued and fully paid 20 ordinary registered shares of €1,000 each 20,000 

Loan Capital € 

Commitment under Class A1A Notes 75,000,000 

Class A1B Notes 75,000,000 

Class A2 Notes 48,800,000 

Class B Notes 24,130,000 

Class C Notes 21,900,000 

Class D Notes 22,020,000 

Class E Notes 10,780,000 

Class N Notes 32,800,000 

Total Capitalisation 310,450,000* 

* This assumes that the Class A1A Notes are fully drawn as of the Issue Date. 

Indebtedness 

The Issuer has no indebtedness as at the date of this Prospectus, other than that which the Issuer has 

incurred or shall incur in relation to the transactions contemplated herein. 

Holding Structure 

The entire issued share capital of the Issuer is owned by Stichting Gresham Capital CLO IV, a foundation 

(stichting) established under the laws of The Netherlands having its registered office at Rivierstaete Building, 

Amsteldijk 166, 1079 LH Amsterdam, The Netherlands (the “Foundation”). 

None of the Collateral Manager, the Collateral Administrator, the Trustee or any company affiliated with 

any of them, directly or indirectly, owns any of the share capital of the Issuer. Structured Finance Management 

(Netherlands) B.V. is the sole director of the Foundation. 

Pursuant to the terms of a management agreement dated on or about the Issue Date between the Foundation 

and Structured Finance Management (Netherlands) B.V. and a letter of undertaking dated on or about the Issue 

145

Date between, inter alia, the Foundation, Structured Finance Management (Netherlands) B.V. and the Trustee 

measures will be put in place to limit and regulate the control which the Foundation can exercise over the Issuer. 

Subsidiaries 

The Issuer has no subsidiaries. 

Administrative Expenses of the Issuer 

The Issuer is expected to incur certain Administrative Expenses (as defined in Condition 1 (Definitions) of 

the “Conditions of the Notes”). 

Financial Statements 

The Issuer has not prepared any audited financial statements prior to the Issue Date. The first financial year 

of the Issuer will end on 31 December 2008. 

146

DESCRIPTION OF THE COLLATERAL MANAGER 

The information appearing in this section relating to the Collateral Manager has been prepared by Investec 

Principal Finance, a business unit division of Investec Bank (UK) Ltd. (“Investec”) or one of its Affiliates and 

has not been independently verified by the Issuer. Accordingly, notwithstanding anything to the contrary 

herein, the Issuer does not assume any responsibility for the accuracy, completeness or applicability of such 

information. The Collateral Manager accepts responsibility for the information contained in this section to the 

extent that it is correct to the best of its knowledge as at the Issue Date. 

The Collateral Manager 

Investec Principal Finance (“IPF”), a business unit division within Investec will be providing the collateral 

management services to the Issuer in conjunction with Investec Acquisition Finance (“IAF”), another business 

unit within Investec. 

IPF was established in mid-2005 and was set up to develop the securitisation and principal finance business 

within Investec. IPF currently has a team of over 30 professionals with related experience in the management, 

structuring, syndication and trading of both leveraged loans and collateralised loan obligations. IPF is able to 

draw on Investec’s large banking infrastructure and in particular relies upon IAF for sourcing, assessment and 

ongoing surveillance of Bank Loans, Mezzanine Loans and Second Lien Loans. 

IAF was established in early 2004 to build up and hold a diversified book of European leveraged loans for 

Investec, with a focus on private equity sponsor backed pan-European transactions, with enterprise values in 

excess of €500,000,000. From the outset the intention had been that once a solid reputation and track record 

was established, a fund/CLO franchise would be rolled out and going forward, the intention will be to continue 

to grow the size of Investec’s leveraged loan portfolio while at the same time becoming a collateral manager for 

CLO issuers. IAF currently has a team of 8 professionals. 

Investec is currently the collateral manager to three other European leveraged loan CLOs, Gresham Capital 

CLO I B.V., which was funded in March 2006, Gresham Capital CLO II B.V., which was funded in October 

2006 and Gresham Capital CLO III B.V., which was funded in December 2006. 









Investec is a banking institution regulated by the Financial Services Authority (“FSA”) and the South 

African Reserve Bank (“SARB”), and holds a full banking license in the United Kingdom. Investec also has the 

regulatory authority to act as Collateral Manager in The Netherlands. 

Investment Policy 

Investec manages the Portfolio for the Issuer and will determine on behalf of the Issuer how the proceeds 

from the Notes will be invested. The eligible collateral consists of debt obligations issued or borrowed in 

leveraged transactions predominantly by UK and continental European companies and to a limited extent the 

United States of America. The focus will be on senior secured loans complemented by mezzanine, second lien 

or subordinated loans and other debt securities issued by companies with strong operations and solid capital 

structures. 

Investment Approval Procedure 

Investment decisions will be made by a credit committee comprising of Andy Clapham, Henrik Malmer, 

Jeff Boswell and David Beadle. The quorum will be three with a provision to name one alternate if required. 

The credit committee will monitor credit, liquidity, currency and interest rate risk and compliance with the terms 

of the Trust Deed and Collateral Management Agreement. In addition, the credit committee will determine the 

Collateral Manager’s investment strategy on behalf of the Issuer and review the Portfolio on a regular basis. In 

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practice, all members of the IPF and IAF team will be encouraged to contribute their views to the matters 

considered by the credit committee in order to ensure that the experience of all members of staff is included 

where relevant. 

New investment opportunities will be subject to appraisal in two contexts: 

· First, the suitability of the proposed new investment in terms of the Portfolio, i.e. with reference to the 

required diversity score and weighted average rating, to currency and interest rate risk and to issuer and 

country concentration rules, etc. 

· Second, to the cash flow and credit worthiness of the proposed obligor, taking into account both 

financial and commercial risks, industry and economic factors and strategic and financial structuring 

considerations. 

In addition, any asset sales will be subject to the review of the credit committee, taking into account the 

rationale for any sale and relative value considerations. 

Where the Collateral Manager, on behalf of the Issuer, is making an investment in the private debt markets, 

it will usually make use of reports from specialist advisers who performed due diligence on, for example, the 

historic and forecast financial performance of the proposed borrower, tax, pension and legal issues. The 

Collateral Manager will perform, inter alia, a detailed commercial assessment of the borrower, including cash 

flow modelling and stress testing, industry and economic reviews, management meetings and site visits (where 

practical and necessary). 

There may be circumstances where debt investments are split between Investec and/or one or more funds 

managed by Investec or transferred in whole or in part between them. This may enable Investec and/or one or 

more of the funds managed by Investec to benefit from sufficiently large participations to maximise 

arrangement fees or meet diversity/size requirements. No such transactions will be made unless in the best 

interests of the parties involved. If appropriate, third party or market valuations would be taken to validate 

transfer values. 

Key Biographies 

The following sets out the biographies of the key personnel on the team. 

Andy Clapham joined Investec in July 2005 as Head of the IPF. Previous to joining, Andy spent 5 years as 

Senior Managing Director running the European Securitisation and Principal Finance businesses at Bear 

Stearns. Prior to that Andy was Managing Director and Head of Principal Finance at Nikko CDO Securities. 

Whilst there, Andy was responsible for managing the public to private of Powell Duffryn, and the subsequent 

£300m leveraged whole business securitisation, as well as managing other investments such as the Roadchef 

Motorway Service Area chain. Prior to that Andy spent 13 years as Managing Director at Greenwich Natwest 

as head of its Securitisation and Principal Finance business. During this time Andy was responsible for 

arranging and managing the world’s first CLO in 1991 — $1bn Thames Funding programme, and for arranging 

and managing the world’s first balance sheet CLOs — Rose Funding No.1 and Rose Funding No.2 - $10bn in 

size. In addition to this, Andy arranged and managed Europe’s first asset backed CBO — $500m TAGS No.1 

Plc. Andy also arranged and was responsible for managing a $10bn asset backed CP programme — Thames 

Asset Global Securitisation Inc (“TAGS”). Andy is accredited with being one of the founders of the CDO 

market, developing innovative programs such as Rose Funding. Andy has 20 years experience in Europe of 

successfully managing over $25bn in assets as diverse as corporate loans, leveraged loans, asset backed bonds, 

lease receivables and business cashflows. Andy has a BSc in Mechanical Engineering from Nottingham 

University. 

Henrik Malmer joined Investec in September 2005 as Head of ABS/CDO Trading. He trades the 

proprietary trading book for IPF and plays an essential part in the risk management of the residential and 

commercial mortgage business and the CLO/CDO management business. Henrik has spent time at both 

Wachovia Securities and Bear Stearns in the role of ABS/CDO Secondary Trader as well as ABS/CDO 

Syndication. Henrik was also involved in the management of assets before their inclusion in 3rd party CDOs at 

Bear Stearns as well as playing an active role in the reverse engineering and fundamental analysis of 

ABS/CDOs for the trading desk and for CDO managers. He has a BSc in Economics and an MSc in Investment 

Management from Cass Business School and speaks Swedish, French and Spanish. 

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Jeff Boswell joined Investec in early 2004 to establish the Acquisition Finance business in the UK. He 

previously spent 2 years with NIB Capital Bank where he was responsible for origination and analysis of new 

leveraged loan transactions, with a focus on lead arranging and underwriting. Jeff has led the development of 

IAF, establishing solid relationships with lead arranging banks and building credibility within a mature market 

place. Jeff qualified as a Chartered Accountant with BDO, whom he joined in 1997, and subsequently worked 

within the Structured Finance division of BOE Merchant Bank in South Africa from 2000 - 2002. His role there 

included the development of structured corporate debt solutions, origination and underwriting of leveraged 

buyouts and credit analysis of corporate clients. Jeff is also a Chartered Financial Analyst charter holder, and 

has a Bachelor of Commerce (Honours) degree from the University of South Africa. 

David Beadle joined Investec in May 2005, to work alongside Jeff in the ongoing development of IAF’s 

business, with a particular focus on the CLO programme, for which he performs the role of portfolio manager. 

Prior to Investec David was with NIB Capital for 3 years, where he led the origination and analysis team for the 

North Westerly CLO business. He previously spent 17 years with The Royal Bank of Scotland where he 

undertook a variety of front line and credit roles in Corporate Banking, culminating in 5 years in Leveraged 

Finance where he had senior roles in both loan management (1998-2000) and origination of lead transactions 

(2000-2002). David is an Associate of the Chartered Institute of Bankers. 

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DESCRIPTION OF THE PORTFOLIO 

1. Introduction 

Pursuant to the Collateral Management Agreement, the Collateral Manager is required to act as the Issuer’s 

manager in respect of the Portfolio, to act in specific circumstances in relation to the Portfolio on behalf of the 

Issuer and to carry out the duties and functions described below. Pursuant to the Collateral Administration 

Agreement, the Collateral Administrator is required to perform certain calculations in relation to the Portfolio on 

behalf of the Issuer. 

The acquisition of Collateral Debt Securities by, or on behalf of, the Issuer has taken and will take place 

during three periods: (a) on or prior to the Issue Date; (b) the Ramp-Up Period; and (c) the period from the end 

of the Ramp-Up Period until the end of the Reinvestment Period. In certain limited circumstances, the 

Collateral Manager on behalf of the Issuer may acquire further Collateral Debt Securities after the Reinvestment 

Period. The Collateral Manager on behalf of the Issuer purchased a portfolio of Bank Loans, Mezzanine Loans, 

Second Lien Loans, CLO Securities, Special Debt Securities and Synthetic Securities or entered into 

Participations relating thereto on or prior to the Issue Date. Second, after the Issue Date and during the Ramp- 

Up Period, the net proceeds of the issue of the Notes deposited in the Initial Proceeds Account, together with 

any drawings under the Class A1A Notes, will be applied in the acquisition of Additional Collateral Debt 

Securities. Third, the Issuer has until the end of the Reinvestment Period to draw fully on the Class A1A Notes 

and to use amounts standing to the credit of the Additional Collateral Account or the Sterling Additional 

Collateral Account to purchase further Collateral Debt Securities. The Collateral Manager on behalf of the 

Issuer is expected to acquire Collateral Debt Securities having an aggregate Principal Balance of €300,000,000 

(the “Target Par Amount” (with the Sterling amount of any Sterling Collateral Debt Securities being converted 

into Euro at the Issue Date Spot Rate)) prior to the end of the Ramp-Up Period using proceeds from the 

drawings under the Class A1A Notes and the net proceeds derived from the issue of the other Notes, subject to 

the restrictions described below. It is estimated that the Issuer or the Collateral Manager on its behalf 

purchased, or entered into agreements to purchase, Collateral Debt Securities having an aggregate Principal 

Balance of at least 70 per cent. of the Target Par Amount on or prior to the Issue Date. 

The Collateral Debt Securities purchased by the Collateral Manager on behalf of the Issuer during the 

Ramp-Up Period and the Reinvestment Period will be required to satisfy the Eligibility Criteria and the 

Reinvestment Criteria, respectively. After the Reinvestment Period, Unscheduled Principal Proceeds and Sale 

Proceeds of any Credit Improved Securities, at the option of the Collateral Manager and subject to certain 

restrictions, may be used to purchase Collateral Debt Securities satisfying the Reinvestment Criteria and the 

Additional Reinvestment Criteria. 

The Collateral Debt Securities are and will be constituted and/or evidenced by the various trust deeds, 

indentures, loan agreements, participation agreements, swap agreements and other similar instruments 

applicable thereto. 

All references herein to the acquisition or purchase of Collateral Debt Securities and Additional Collateral 

Debt Securities shall include provision by, or on behalf of, the Issuer of Synthetic Security Collateral in respect 

of Synthetic Securities so purchased or acquired. 

2. The Portfolio 

Collateral Debt Securities have been and will be purchased by the Collateral Manager on behalf of the 

Issuer pursuant to certain Collateral Acquisition Agreements. 

On or about the Issue Date, the Issuer purchased, or entered into agreements to purchase, Collateral Debt 

Securities having an aggregate Principal Balance of at least 70 per cent. of the Target Par Amount. Any 

Collateral Debt Securities sold by the Collateral Manager or by the Initial Purchaser to the Issuer on or about the 

Issue Date were sold by the Collateral Manager or the Initial Purchaser, as the case may be, to the Issuer, if 

acquired by the Collateral Manager or the Initial Purchaser in the primary market, at par and if acquired by the 

Collateral Manager or the Initial Purchaser in the secondary market, at the market price at which the Collateral 

Manager or the Initial Purchaser had purchased such Collateral Debt Security in the secondary market. 

Any net proceeds of issue of the Notes remaining on the Issue Date which were not required in settlement 

of agreements to purchase Collateral Debt Securities entered into on or prior to the Issue Date, to pay various 

fees and expenses or to pay the premium in respect of the Issuer entering into the Initial Hedge Agreement, were 

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paid into the Initial Proceeds Account on the Issue Date and the Collateral Manager (acting on behalf of the 

Issuer) may use amounts standing to the credit of such account and drawings on the Class A1A Notes to 

purchase the Collateral Debt Securities during the Ramp-Up Period, as described below. 

3. Ramp-Up Period 

The Ramp-Up Period commenced on the Issue Date and will end on the Target Date unless extended as 

described below. At any time during the Ramp-Up Period, amounts standing to the credit of the Initial Proceeds 

Account together with any drawings under the Class A1A Notes, may be applied in the acquisition of Additional 

Collateral Debt Securities which satisfy the Eligibility Criteria. Each Additional Collateral Debt Security must 

also be purchased by the Collateral Manager on behalf of the Issuer in a manner as provided in the Collateral 

Management Agreement. 

Target Date: The Target Date shall be the earlier of (a) 18 January 2008 and (b) the date specified as such 

by the Collateral Manager in accordance with the terms of the Collateral Management Agreement. The 

Collateral Manager shall not specify the Target Date pursuant to paragraph (b) unless the Target Date Rating 

Requirement will be met on such date. 

The Collateral Manager shall request that the Rating Agencies confirm the ratings assigned by them 

respectively on the Issue Date to the Senior Notes and the other Rated Notes within 30 days after the Target 

Date. In the event that the Collateral Manager does not receive from the Rating Agencies within such 30 day 

period confirmation that the ratings assigned by the Rating Agencies on the Issue Date to the Senior Notes and 

each other Class of the Rated Notes have not been reduced or withdrawn, the Target Date shall be extended to 

the earlier of (a) the date on which the Collateral Manager receives such confirmation from the Rating Agencies 

(or in the event that any such ratings have been reduced or withdrawn, confirmation that such ratings have been 

reinstated), and (b) the Determination Date falling immediately after the date which but for such extension 

would have been the Target Date. 

If the Target Date Rating Requirements are not achieved on the Target Date, then all further purchases of 

Collateral Debt Securities shall cease until the Collateral Manager, acting on behalf of the Issuer, prepares and 

presents to the Rating Agencies a plan setting forth the timing and manner of acquisition of Collateral Debt 

Securities which will satisfy the Target Date Rating Requirements and such plan of acquisition is the subject of 

Rating Agency Confirmation. 

If either (a)(i) the initial ratings of the Senior Notes and the other Rated Notes are downgraded or 

withdrawn by the Rating Agencies or (ii) either of the Rating Agencies notifies the Issuer or the Collateral 

Manager on behalf of the Issuer that such Rating Agency intends to downgrade or withdraw its initial ratings of 

the Senior Notes and the other Rated Notes, in each case, upon request for confirmation thereof to the Rating 

Agencies by the Collateral Manager, acting on behalf of the Issuer, following the Target Date; or (b) the Rating 

Agencies do not provide a Rating Agency Confirmation with respect to the plan of acquisition of the Collateral 

Debt Securities provided by the Collateral Manager following the failure to meet the Target Date Rating 

Requirements on the Target Date by the immediately following Determination Date, amounts standing to the 

credit of the Initial Proceeds Account will, on such Determination Date, be transferred to the Euro Payment 

Account and shall be deemed to constitute Euro Principal Proceeds for the purpose of the application of 

Principal Proceeds pursuant to the Priorities of Payment. If the Rating Agencies confirm the ratings assigned by 

them respectively on the Issue Date to the Senior Notes and the other Rated Notes within 30 days after the 

Target Date, the Collateral Manager may on behalf of the Issuer designate such funds as being available for 

reinvestment and if so designated will be transferred to the Additional Collateral Account. 

As of the Target Date the following criteria are required to be met (the “Target Date Rating 

Requirement”): (i) each of the Collateral Quality Tests, the Coverage Tests and paragraph (c) of the Eligibility 

Criteria are satisfied on such date; and (ii) the aggregate of the Principal Balances of the Collateral Debt 

Securities is at least 99.5 per cent. of the Target Par Amount and for the purposes of determining the aggregate 

Principal Balances of the Collateral Debt Securities in connection with the Target Par Amount, any prepayments 

or repayments of the Collateral Debt Securities after the Issue Date shall be disregarded and any Sterling 

amounts of any Sterling Collateral Debt Securities shall be converted into Euro at the Issue Date Spot Rate. 

No further Collateral Debt Securities may be purchased by the Collateral Manager on behalf of the Issuer 

after the Ramp-Up Period other than (a) during the Reinvestment Period and in accordance with the 

Reinvestment Criteria or (b) after the Reinvestment Period using Unscheduled Principal Proceeds or Sale 

Proceeds of any Credit Improved Securities, at the option of the Collateral Manager and subject to certain 

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estrictions as set out in the Collateral Management Agreement and described in more details below. See “Sale 

of Collateral Debt Securities and Reinvestment Criteria” below. 

4. Eligibility Criteria 

A Bank Loan, Mezzanine Loan, Second Lien Loan, CLO Security, Special Debt Security or Synthetic 

Security, including any Participation (together “Collateral Debt Securities”) will satisfy the “Eligibility 

Criteria” if each of the following conditions are satisfied at the time of acquisition thereof by the Issuer: 

(a) It: 

(i) is an obligation of an obligor incorporated or established in one of (each a “Qualifying Country”) 

(A) Austria, Belgium, Denmark, Finland, France, Germany, Republic of Ireland, Italy, 

Luxembourg, Liechtenstein, The Netherlands, Norway, Portugal, Spain, Sweden, Switzerland or 

the United Kingdom (including the Channel Islands and the Isle of Man) or (B) any other EU 

Member State or other country the subject of Rating Agency Confirmation by S&P from time to 

time or (C) any country the subject of Rating Agency Confirmation by Fitch from time to time or 

(D) any other EU Member State or other country with a foreign currency long term debt rating of 

at least “A-” by Fitch and “AA-” by S&P or (E) the United States of America, provided that if any 

obligor incorporated or established in a jurisdiction mentioned in paragraph (A), (B), (C), (D) or 

(E) falls within the definition of Emerging Market Issuer, no obligation of that obligor shall satisfy 

the Eligibility Criteria set out in this paragraph (a)(i) and for the purposes of determining the 

jurisdiction of incorporation or establishment (x) the obligor in respect of a Participation is deemed 

to be the obligor of the Collateral Debt Security to which such Participation relates and not the 

Selling Institution and (y) the obligor in respect of a Synthetic Security is deemed to be the obligor 

of the related Reference Obligation and not the Synthetic Security Obligor; 

(ii) is denominated in Euro (or is denominated in one of the predecessor currencies of those EU 

Member States which have adopted the Euro as their currency) or pounds Sterling and is not 

convertible into or payable in any other currency after acquisition, provided that where an 

obligation is denominated in a currency other than Euro or Sterling, such obligation shall be 

deemed to satisfy this criteria if it is the subject of an Asset Swap Transaction pursuant to a Hedge 

Agreement swapping all non-Euro amounts into Euro amounts; 

(iii) is a Special Debt Security, a Bank Loan, a Mezzanine Loan, a Second Lien Loan, a CLO Security, 

a Synthetic Security or a Participation in respect of one of the foregoing; 

(iv) is not Margin Stock as defined under Regulation U issued by the Board of Governors of the United 

States Federal Reserve System; 

(v) is not a Dutch Ineligible Security and if the obligor or obligors of a Bank Loan, a Mezzanine Loan 

or a Second Lien Loan is or are resident in, or incorporated under the laws of The Netherlands they 

must be acting in the conduct of a business or profession; 

(vi) is an obligation in respect of which, following acquisition thereof by the Issuer by the selected 

method of transfer, (1) payments will not be subject to withholding or similar tax imposed by any 

jurisdiction including where this is pursuant to the operation of an applicable tax treaty subject to 

the completion of any procedural formalities or (2) the obligation provides for “gross-up” 

payments to the Issuer that cover the full amount of any withholding on an after-tax basis; 

(vii) is an obligation which contractually provides for the payment of interest on a floating rate basis; 

(viii) is not an obligation pursuant to which future advances (whether of a revolving or a fixed nature) 

may be required to be made by the Issuer; 

(ix) where such obligation is a Bank Loan, a Mezzanine Loan or a Second Lien Loan, it must require at 

least 66⅔ per cent. consent of all lenders to the obligor thereunder for any change in the principal 

repayment profile or interest applicable on such obligation (for the avoidance of doubt, excluding 

any changes originally envisaged in the loan documentation); 

(x) is not a Project Finance Loan or a Structured Finance Security or a lease; 

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(xi) will not result in the imposition of any present or future, actual or contingent, monetary liabilities 

or obligations of the Issuer other than those (1) which may arise at its option; or (2) which are fully 

collateralised; or (3) owed to the agent bank in relation to the performance of its duties under a 

syndicated loan; or (4) which may arise as a result of an undertaking to participate in a financial 

restructuring of a Collateral Debt Security where such undertaking is contingent upon the 

repayment in full of such Collateral Debt Security on or before the time by which the Issuer is 

obliged to enter into the restructuring of the Collateral Debt Security and where the restructured 

Collateral Debt Security satisfies the Eligibility Criteria and such undertaking is envisaged in the 

initial underlying documents for such Collateral Debt Security and does not involve the advance of 

any new funds by the Issuer; 

(xii) (A) is issued by an entity that is treated as a corporation that is not a United States real property 

holding corporation as defined in Section 897(c)(2) of the Code for U.S. federal income tax 

purposes, (B) is treated as indebtedness for U.S. federal income tax purposes and is not a United 

States real property interest as defined under Section 897 of the Code, or (C) with respect to which 

the Issuer has received advice or an opinion of a nationally recognised U.S. tax counsel 

experienced in such matters to the effect that the acquisition, ownership or disposition of such 

security will not cause the Issuer to be treated as engaged in a trade or business within the United 

States for U.S. federal income tax purposes or otherwise subject the Issuer to U.S. federal income 

tax on a net income basis; 

(xiii) the assignees or transferees of any Collateral Debt Security are expressed to be entitled to the 

benefit of the security (in accordance with the terms of such Collateral Debt Security and if 

provided with respect to such Collateral Debt Security) for such Collateral Debt Security in all 

material respects; 

(xiv) the acquisition of any Collateral Debt Security which is a Bank Loan, a Mezzanine Loan, a Second 

Lien Loan or a Special Debt Security, would not cause the Issuer to breach any law or regulation 

which prohibits the Issuer from acting as lender pursuant to such Bank Loan, Mezzanine Loan, 

Second Lien Loan or Special Debt Security in the jurisdiction of the relevant Obligor; 

(xv) the Collateral Debt Security is not subject to stamp duty or any similar documentary tax on 

transfers; 

(b) (i) 

is not (A)(i) a Defaulted Security or a Current Pay Obligation or a Credit Risk Security or (ii) a 

Collateral Debt Security which, in the reasonable business judgment of the Collateral Manager, 

has a significant risk of declining in credit quality and, with a lapse of time, becoming a Defaulted 

Security or, as the case may be, a Current Pay Obligation or, as the case may be, a Credit Risk 

Security, (B) a security whose repayment is subject to material non-credit related risk (for 

example, a Collateral Debt Security the payment of which is expressly contingent upon the nonoccurrence 

of a catastrophe or a hurricane bond or any market value collateralised bond or debt 

obligation), as determined in the reasonable business judgment of the Collateral Manager or (C) a 

security that by the terms of its underlying instruments provides for mandatory conversion or 

exchange into equity capital or into a debt security with a weighted average life longer, or level of 

subordination or rating lower, than that of the original Collateral Debt Security at any time prior to 

its maturity; 

(ii) is capable of being sold, assigned or participated to the Issuer and, in the case of a Special Debt 

Security (other than a senior or subordinated unsecured loan) and a CLO Security, is cleared 

through DTC, Euroclear or Clearstream, Luxembourg or such other clearing system subject to 

Rating Agency Confirmation and its acquisition by the Issuer will not breach any applicable 

selling or transfer restrictions; 

(iii) has a Fitch Rating and a S&P Rating; 

(iv) if such Collateral Debt Security is a Participation or a Synthetic Security, then: 

(A) such Participation or Synthetic Security is acquired from a Selling Institution or Synthetic 

Security Obligor incorporated or organised under the laws of the United States (or any state 

thereof), Canada (or any province thereof) or any EU Member State (other than Greece) rated 

at least “A-” by Fitch and “A+” by S&P; 

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(B) in the case of a Synthetic Security (1) Rating Agency Confirmation is obtained prior to the 

date of acquisition of such Synthetic Security that such Synthetic Security may be included as 

a Collateral Debt Security, (2) such Synthetic Security has a Priority Category Recovery Rate 

assigned by each of Fitch and S&P, (3) such Synthetic Security has a rating assigned by each 

of Fitch and S&P, (4) such Synthetic Security terminates upon the redemption or repayment in 

full of the Reference Obligation, (5) no amounts receivable by the Issuer from the Synthetic 

Security Obligor in respect thereof shall be subject to withholding tax unless the Synthetic 

Security Obligor is obliged to pay to the Issuer additional amounts so that the payment 

received by the Issuer after withholding equals the gross amount to which it is entitled and (6) 

the acquisition, ownership or disposition of the Synthetic Security will not cause the Issuer to 

be subject to tax on a net income basis; 

(C) in the case of a Participation, there are no more than two intermediary parties between the 

Issuer and the underlying obligor; 

(v) is not the subject of an offer of exchange, conversion, or tender by its obligor, or by any other 

person, for cash, securities or any other type of consideration (other than for an obligation which is 

a Collateral Debt Security meeting the Eligibility Criteria and the Reinvestment Criteria), or to an 

optional redemption by its obligor which has been exercised, and is not convertible into equity at 

the option of the obligor (provided that such option may represent more than 2 per cent. of the 

market value, but only to the extent that (i) the Reinvestment OC Test would be satisfied and (ii) 

such amount in excess of 2 per cent. of the market value is less than or equal to the amounts 

standing to the credit of the Collateral Enhancement Account in both cases immediately before the 

entry into of the commitment to purchase such Collateral Debt Security), determined in the 

reasonable business judgment of the Collateral Manager, of such Collateral Debt Security; 

(vi) unless it is a PIK Security, provides for interest then payable to be payable at least semi-annually 

and provides for periodic payments of interest to be in cash no less frequently than semi-annually, 

provided that up to 5 per cent. of the Maximum Investment Amount may consist of Collateral Debt 

Securities that provide for periodic payments of interest to be in cash less frequently than semiannually, 

and provided further that a Synthetic Security may have a Reference Obligation which 

pays less frequently than semi-annually if such Synthetic Security requires periodic payments of 

interest in cash at least annually; 

(vii) is an obligation which does not have a Fitch Rating of below “B-” and a S&P Rating of below 

“B-”; 

(viii) does not have a Stated Maturity which falls later than the Maturity Date of each Class of Notes, 

provided that subsequent to 18 July 2013, up to 1.75 per cent. of the Maximum Investment 

Amount may consist of Long Dated Securities, provided that the Stated Maturity for the Long 

Dated Securities does not extend beyond three years after the Maturity Date of the Class N Notes; 

(ix) does not provide for a coupon rate or spread over the relevant index that decreases over time (other 

than debt obligations or securities on which interest payments are based on a floating rate index or 

scheduled declining principal balance or due to a decrease from a default rate of interest to a nondefault 

rate or an improvement in the obligor’s financial condition); 

(x) is not a Non-Performing Security or a Collateral Debt Security which, in the reasonable business 

judgement of the Collateral Manager, has a significant risk of declining in credit quality and, with 

the lapse of time, becoming a Non-Performing Security; 

(xi) in the case of a CLO Security, (I) it is not a combination note; (II) it is not a collateralised debt 

obligation where the investors’ exposure to credit risk is taken by entering into a credit default 

swap with, or purchasing a credit-linked note from, a protection buyer in relation to a pool of 

corporate names, and at the same time, such protection buyer also provides protection through 

single-name credit default swaps or portfolio credit default swaps which are in relation to that pool 

of corporate names; (III) it is not a collateralised debt obligation managed by the Collateral 

Manager; (IV) it is denominated in Euro (or is denominated in one of the predecessor currencies of 

those EU Member States which have adopted the Euro as their currency); (V) it does not have a 

Fitch Rating below “BB-” and a S&P Rating of below “BB-”; and (VI) it is not a CLO Security 

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managed by a collateral manager of an existing CLO Security in the Portfolio at the time of 

acquisition by the Issuer; 

(xii) it is not a PIK Security for which interest payable thereon is then currently being deferred or 

capitalised; 

(c) with respect of the acquisition of any Collateral Debt Security after the Target Date, each of the 

following requirements must be satisfied: 

(i) no Mezzanine Loans, Second Lien Loans, CLO Securities or Special Debt Securities may be 

purchased if, following such purchase, more than 12.5 per cent. of the Maximum Investment 

Amount will consist of Mezzanine Loans, Second Lien Loans, CLO Securities and Special Debt 

Securities; 

(ii) no CLO Securities may be purchased if, following such purchase, more than 5 per cent. of the 

Maximum Investment Amount will consist of CLO Securities; 

(iii) no Special Debt Securities may be purchased if, following such purchase, more than 5 per cent. of 

the Maximum Investment Amount will consist of Special Debt Securities; 

(iv) no Synthetic Security or Participations may be purchased if, following such purchase, the 

aggregate Principal Balance of Synthetic Securities, Participations and Collateral Debt Securities 

the subject of a Securities Lending Agreement would be more than 20 per cent. of the Maximum 

Investment Amount; 

(v) no Collateral Debt Security may be acquired which consists of an obligation in respect of which 

the obligor is incorporated or established under the laws of the United States of America or any 

state of the United States of America if, following such purchase, more than 20 per cent. of the 

Maximum Investment Amount will consist of obligations in respect of which the obligors are 

incorporated or established under the laws of the United States of America or any state of the 

United States of America; 

(vi) unless Rating Agency Confirmation from S&P has been received, no Collateral Debt Security 

which is a Participation or Synthetic Security with a counterparty rated less than “A-1+” by S&P, 

or issued by an obligor incorporated or established under the laws of a country rated less than 

“AA” by S&P may be purchased if, following such purchase, more than 20 per cent. of the 

Maximum Investment Amount will consist of bivariate risk exposures to: 

(A) Participations with Selling Institutions rated less than “A-1+” by S&P; 

(B) Synthetic Securities with Synthetic Securities Obligors rated less than “A-1+” by S&P; 

(C) Collateral Debt Securities which are loaned pursuant to any Securities Lending Agreement 

with Securities Lending Counterparties rated less than “A-1+” by S&P; and 

(D) Collateral Debt Securities in respect of which the obligors are incorporated or established 

under the laws of any countries rated less than “AA” by S&P; 

(vii) no Sterling Collateral Debt Security may be purchased if, following such purchase, more than 25 

per cent. of the Maximum Investment Amount (the “Sterling Limit”) will consist of Sterling 

Collateral Debt Securities, provided that (1) a Sterling Collateral Debt Security the subject of a 

perfect asset swap pursuant to a Hedge Agreement swapping all Sterling amounts into Euro 

amounts shall be treated as a Euro Collateral Debt Security instead of a Sterling Collateral Debt 

Security for the purposes of this paragraph (c)(vii) and (2) the Sterling Limit will be reduced from 

time to time by an amount equal to the Cumulative Sterling Realised Losses from time to time; 

(viii) no Sterling Collateral Debt Security or Non-Euro Collateral Debt Security denominated in Sterling 

may be purchased if, following such purchase, more than 35 per cent. of the Maximum Investment 

Amount (the “Aggregate Sterling Limit”) will consist of Sterling Collateral Debt Securities and 

Non-Euro Collateral Debt Securities denominated in Sterling, provided that the Aggregate Sterling 

Limit will be reduced from time to time by an amount equal to the Cumulative Sterling Realised 

Losses from time to time; 

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(ix) no Collateral Debt Security which is a PIK Security may be acquired if, following such purchase, 

the aggregate Principal Balances of all Collateral Debt Securities that are PIK Securities is greater 

than 5 per cent. of the Maximum Investment Amount; 

(x) if such Collateral Debt Security is a Participation or a Synthetic Security, then prior to acquisition: 

(A) subject to paragraph (c)(x)(B) below, (1) the aggregate Principal Balance of all Collateral 

Debt Securities (i) constituting Participations and Synthetic Securities and (ii) the subject of a 

Securities Lending Agreement, acquired from any single Selling Institution or Synthetic 

Security Obligor or entered into with any single Securities Lending Counterparty and its 

Affiliates on the date of such investment is not greater than the amount set out in the middle 

column of the following table in respect of a Selling Institution or Synthetic Security Obligor 

or Securities Lending Counterparty or any of its Affiliates whose long term senior unsecured 

debt securities are rated at the level set out in the left hand column and (2) the aggregate 

Principal Balance of all Collateral Debt Securities (i) constituting Participations and Synthetic 

Securities and (ii) the subject of a Securities Lending Agreement, acquired from all Selling 

Institutions (including, in the case of any Participation involving more than one intermediary 

party from the Selling Institution, each such intermediary) or Synthetic Security Obligors or 

entered into with all Securities Lending Counterparties is not greater than the aggregate 

amount set out in the right hand column of the following table in respect of all Selling 

Institutions (including, in the case of any Participation involving more than one intermediary 

party from the Selling Institution, each such intermediary), Synthetic Security Obligors and 

Securities Lending Counterparties whose long term senior unsecured debt securities are rated 

at the level set out in the left hand column: 

Counterparty Long term 

rating 

(1) AAA or lower and 

“AAA” or lower 

(2) AA+ or lower and 

“AA+” or lower 

(3) AA or lower and “AA” 

or lower 

(4) AA or lower and “AA” 

or lower 

(5) A+ or lower and “A+” or 

lower 

(6) A or lower and “A” or 

lower 

Maximum from each 

Obligor (including 

Affiliates) 

20 per cent. of the Maximum 












Maximum from all 

Obligors 













(7) A or lower and “A” or 

lower 

0 0 

If a Selling Institution’s or Synthetic Security Obligor’s long term credit rating is downgraded 

following the Issuer’s acquisition of a Participation or Synthetic Security (as the case may be) 

and such downgrade causes the maximum amount permitted from all Selling Institutions and 

Synthetic Security Obligors of the lower credit rating (as set out in the table above) to be 

exceeded then: 

(1) the Issuer (or the Collateral Manager on behalf of the Issuer) shall notify S&P 

promptly of the breach of the relevant limit; and 

(2) the Issuer (or the Collateral Manager on behalf of the Issuer) shall ensure that all of 

the limits set out in the above table are met within 30 days of the breach by replacing 

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the downgraded Selling Institution or Synthetic Security Obligor (as the case may be) 

with one which has the appropriate higher credit rating to ensure the limits are met. 

In the event that the downgraded Selling Institution or Synthetic Security Obligor has not been 

replaced within 30 days in accordance with paragraph (2) above and the limits set out in the 

above table are still exceeded then one or more Participations or Synthetic Securities (as the 

case may be) of the relevant Selling Institution or Synthetic Security Obligor will be 

downgraded by the same number of rating categories as the downgraded Selling Institution or 

Synthetic Security Obligor until such time as the Selling Institution or Synthetic Security 

Obligor (as the case may be) has been replaced by one which has the appropriate higher credit 

rating to ensure that the above limits are met; 

(B) in the case of a Participation, following such acquisition, the aggregate Principal Balance of 

all Collateral Debt Securities constituting interests in Collateral Debt Securities acquired by 

way of a Participation involving more than one intermediary party from Selling Institutions is 

not more than 5 per cent. of the Maximum Investment Amount (or any higher amount subject 

to the receipt of Rating Agency Confirmation in respect thereto); 

(xi) the aggregate principal amount of (i) Bank Loans of any single obligor may not be more than 

€7,500,000 or £5,061,000, save that in the case of up to four obligors, the aggregate principal 

amount of Bank Loans of two such obligors may equal up to €11,500,000 or £7,760,200 each and 

the aggregate principal amount of Bank Loans of the other two such obligors may equal up to 

€9,000,000 or £6,073,200 each and (ii) Mezzanine Loans, Second Lien Loans and CLO Securities 

of any single obligor may not be more than €4,500,000 or £3,036,600 save that in the case of up to 

five obligors, the aggregate principal amount of Mezzanine Loans, Second Lien Loans and CLO 

Securities may equal up to €6,000,000 or £4,048,800; 

(xii) no Collateral Debt Security comprised in a Fitch Industry Category may be acquired if, following 

such purchase, more than 15 per cent. of the Maximum Investment Amount will consist of 

Collateral Debt Securities comprised in such Fitch Industry Category; and 

(xiii) no Collateral Debt Security comprised in a Fitch Industry Category may be acquired if, following 

such purchase, more than 35 per cent. of the Maximum Investment Amount will consist of 

Collateral Debt Securities comprised in the three largest Fitch Industry Categories. 

For the purposes of the Eligibility Criteria, any Sterling amounts which are to be converted into Euro shall 

be converted using the Issue Date Spot Rate. 

The failure by any Collateral Debt Security to satisfy any of the Eligibility Criteria at any time after its 

acquisition shall be of no consequence. 

For the purposes of the Eligibility Criteria: 

“Cumulative Sterling Defaults” means the principal amount outstanding of all Sterling Collateral Debt 

Securities which have become Defaulted Securities since the Issue Date. 

“Cumulative Sterling Realised Losses” means Cumulative Sterling Defaults minus Cumulative Sterling 

Realised Recoveries. 

“Cumulative Sterling Realised Recoveries” means all recoveries received in respect of Sterling Collateral 

Debt Securities since the Issue Date. 

“Fitch Industry Category” means each of the categories listed below plus any other industry category 

published by Fitch other than any industry category which is no longer used by Fitch at the relevant point in 

time. 

Industry Categories 

Aerospace & Defence 

Automobiles 

Banking & Finance 

Broadcasting/Media/Cable 

Building & Materials 

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Industry Categories 

Business Services 

Chemicals 

Computers & Electronics 

Consumer Products 

Energy 

Food, Beverage & Tobacco 

Gaming, Leisure & Entertainment 

Health Care & Pharmaceuticals 

Industrial/Manufacturing 

Lodging & Restaurants 

Metals & Mining 

Packaging & Containers 

Paper & Forest Products 

Real Estate 

Retail (General) 

Supermarkets & Drugstores 

Telecommunications 

Textiles & Furniture 

Transportation 

Utilities 

“Project Finance Loan” means a loan obligation under which the obligor is obliged to make payments that 

depend (except for rights or other assets designed to assure the servicing or timely distribution of payments) on 

revenues arising from infrastructure assets, including, without limitation: 

(i) the sale of products, such as electricity, water, gas and oil, generated by one or more infrastructure 

assets in the utility industry by a special purpose entity; 

(ii) user fees charged in respect of one or more highways, bridges, tunnels, pipelines or other 

infrastructure assets by a special purpose entity, 

and, in each case, the sole activity of such special purpose entity is the ownership and/or management of 

such asset or assets and the acquisition and/or development of such asset by the special purpose entity was 

effected primarily with the proceeds of debt financing made available to it on a limited recourse basis. 

5. Fundings under the Class A1A Notes and Acquisition of Collateral Debt Securities 

The Collateral Manager (acting on behalf of the Issuer) is permitted during the Ramp-Up Period and the 

Reinvestment Period in certain circumstances and subject to certain requirements to request a Drawing pursuant 

to the Class A1A Notes to acquire Collateral Debt Securities. 

Each Drawing is subject to the conditions precedent as more particularly set out in the Class A1A Note 

Purchase Agreement including the following: 

(a) at the time of and immediately after giving effect to such Drawing, no Issuer Event of Default shall 

have occurred; 

(b) except in the case of the initial Drawing thereunder to be made on the Issue Date, the Capital 

Commitment Registrar shall have received a Funding Notice in accordance with the requirements of 

the Class A1A Note Purchase Agreement; 

(c) the proposed Drawing will not cause the sum of the Total Outstandings to exceed the Total 

Commitments; 

(d) each Transaction Document is in full force and effect; 

(e) the Reinvestment Criteria (if applicable) and the Eligibility Criteria (excluding paragraph (c) if the 

Drawing is made during the Ramp-Up Period and including paragraph (c) if the Drawing is made 

during the Reinvestment Period but after the Ramp-Up Period) will be satisfied upon investment in the 

Collateral Debt Securities; 

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(f) 

the amount drawn does not exceed the aggregate of the purchase prices of Additional Collateral Debt 

Securities (plus accrued interest if any) to be acquired; and 

(g) if such Drawing is denominated in Sterling, the Collateral Debt Security purchased with such Drawing 

would not when purchased cause the Sterling Limit or the Aggregate Sterling Limit to be breached. 

6. Sale of Collateral Debt Securities and Reinvestment Criteria 

(a) General 

The Collateral Manager (acting on behalf of the Issuer) is permitted in certain circumstances and subject to 

certain requirements, all as set out below, to sell Collateral Debt Securities, Defaulted Equity Securities and 

Collateral Enhancement Securities and, during the Reinvestment Period and, to a limited extent, after the 

Reinvestment Period, to reinvest the Sale Proceeds thereof in Additional Collateral Debt Securities. The sale 

and reinvestment of any Collateral Debt Securities will be required to comply with the provisions set out below, 

including meeting the Eligibility Criteria and, after the Ramp-Up Period, the Reinvestment Criteria and after the 

Reinvestment Period, the Reinvestment Criteria and the Additional Reinvestment Criteria. 

(b) Conditions of Sale and/or Reinvestment in Additional Collateral Debt Securities 

The Collateral Manager (acting on behalf of the Issuer) may dispose of any Collateral Debt Security, a 

Defaulted Equity Security or a Collateral Enhancement Security, in each case, which is permitted to be sold in 

the circumstances provided below, provided that: 

(i) no Issuer Event of Default has occurred and is continuing; 

(ii) in the case of a proposed disposal of a Collateral Debt Security, either (i) it is a Credit Improved 

Security, a Credit Risk Security, a Defaulted Security, a PIK Security to which paragraph (f) (Sale 

of PIK Securities) applies or an Equity Security or (ii) the aggregate of the Principal Balances of 

the Collateral Debt Securities acquired during the twelve month period commencing on (and 

including) the Target Date and each succeeding twelve-month period (excluding from this 

calculation, the Principal Balances of the Collateral Debt Securities acquired out of the Sale 

Proceeds received pursuant to a disposal referred to in paragraphs (c) (Sale of Credit Improved 

Securities) to (g) (Sale of Equity Securities) (inclusive) below) when aggregated with the Principal 

Balances of the Collateral Debt Securities to be sold does not exceed 20 per cent. of the Maximum 

Investment Amount determined as at the beginning of each twelve month period, provided that the 

discretionary sales referred to in this paragraph (b)(ii) will only be permitted during the 

Reinvestment Period; 

(iii) except in the case of Sale Proceeds from a Credit Risk Security, a Defaulted Security, a PIK 

Security or an Equity Security, the Collateral Manager certifies that it believes in its reasonable 

business judgement that the Sale Proceeds may be reinvested in one or more Collateral Debt 

Security within 20 Business Days of receipt of such Sale Proceeds; 

(iv) in the case of a sale of a Collateral Debt Security which is a Credit Risk Security, a Credit 

Improved Security or a Defaulted Security, the Collateral Manager certifies that such Collateral 

Debt Security is a Credit Risk Security, Credit Improved Security or Defaulted Security; 

(v) after giving effect to the sale of any Collateral Debt Security, each of the Collateral Quality Tests 

is satisfied or, if not satisfied immediately prior to such sale, is maintained or improved after 

giving effect to the sale of such Collateral Debt Security; and 

(vi) the Collateral Manager has received from the Collateral Administrator the certificate in respect of 

such sale described below. 

In respect of any disposal referred to above, the Collateral Manager shall use its reasonable efforts to 

reinvest the relevant Sale Proceeds in Additional Collateral Debt Securities at any time prior to the end of the 

Due Period in which such Sale Proceeds were received, provided that: 

(i) no Issuer Event of Default shall have occurred and be continuing; 

159

(ii) all Additional Collateral Debt Securities must meet the Reinvestment Criteria and Additional 

Reinvestment Criteria (if applicable) at the time of acquisition thereof; 

(iii) during the Reinvestment Period, Additional Collateral Debt Securities may be purchased using 

Principal Proceeds or Sale Proceeds of all Collateral Debt Securities and after the Reinvestment 

Period, Additional Collateral Debt Securities may be purchased, at the option of the Collateral 

Manager, using Unscheduled Principal Proceeds or Sale Proceeds of any Credit Improved 

Securities; 

(iv) the ratings assigned to the Senior Notes have not been reduced from those assigned on the Issue 

Date and the Class B Notes, the Class C Notes, Class D Notes or Class E Notes have not been 

reduced by more than two rating subcategories from those assigned on the Issue Date, or, in any 

such case, have not been withdrawn by the Rating Agencies (other than following a redemption of 

the relevant Notes in full); and 

(v) the Collateral Manager has received from the Collateral Administrator the certificate in respect of 

such reinvestment described below. 

If the ratings assigned to the Senior Notes have been reduced from those assigned on the Issue Date or the 

ratings assigned to the Class B Notes, the Class C Notes, the Class D Notes or the Class E Notes have been 

reduced by two rating sub-categories from those assigned on the Issue Date or, in any such case, have been 

withdrawn by the Rating Agencies (other than following a redemption of the relevant Notes in full) then the 

Collateral Manager shall cease any discretionary trading (other than the sale of Credit Improved Securities, 

Credit Risk Securities, Defaulted Securities, PIK Securities and Equity Securities) permitted pursuant to this 

paragraph (b) (Conditions of Sale and/or Reinvestment in Additional Collateral Debt Securities) and may only 

resume such trading with the consent of the holders of at least a majority of the principal amount of the 

Controlling Class. 

If the ratings assigned to the Class B Notes have been reduced by three rating sub-categories from those 

assigned on the Issue Date or have been withdrawn by the Rating Agencies (other than following a redemption 

of the relevant Notes in full) then the Collateral Manager shall cease all trading permitted pursuant to this 

paragraph (b) (Conditions of Sale and/or Reinvestment in Additional Collateral Debt Securities) and any 

reinvestment permitted pursuant to paragraph (h) (Unscheduled Principal Proceeds) and may only resume such 

trading with the consent of the holders of at least a majority of the principal amount of the Controlling Class. 

Prior to any such sale and (if applicable) prior to investment or reinvestment in Additional Collateral Debt 

Securities, the Collateral Manager shall request from the Collateral Administrator a certificate described below, 

which request shall specify all necessary details of the Collateral Debt Securities, Non-Performing Securities, 

Defaulted Equity Securities or Collateral Enhancement Securities to be sold and (if applicable) the proposed 

Additional Collateral Debt Securities to be purchased. 

The Collateral Manager shall not sell any Collateral Debt Security or (if applicable) invest or reinvest the 

proceeds from any such sale unless it has received from the Collateral Administrator prior to any such sale and 

(if applicable) investment or reinvestment a certificate certifying whether the relevant criteria which are required 

to be satisfied in connection with any such sale, investment or reinvestment are satisfied and, in particular, that: 

(i) in the case of investment and/or reinvestment in Additional Collateral Debt Securities, the 

Reinvestment Criteria and Additional Reinvestment Criteria (as applicable) will be satisfied upon 

such reinvestment; and 

(ii) the aggregate of the Principal Balances of the Collateral Debt Securities substituted in that year 

(other than those acquired out of the Sale Proceeds received pursuant to a disposal referred to in 

paragraphs (c) (Sale of Credit Improved Securities) to (g) (Sale of Equity Securities) (inclusive)) 

when aggregated with the Principal Balances of the Collateral Debt Securities to be sold does not 

exceed 20 per cent. of the Maximum Investment Amount determined as at the beginning of each 

twelve month period, provided that the discretionary sales referred to in this paragraph (ii) will 

only be permitted during the Reinvestment Period. 

If any such criteria are not satisfied, the Collateral Administrator shall notify the Collateral Manager of the 

reasons and the extent to which such criteria are not satisfied. 

160

(c) Sale of Credit Improved Securities 

The Collateral Manager (acting on behalf of the Issuer) may sell Credit Improved Securities at any time 

and, during the Reinvestment Period, reinvest the Sale Proceeds thereof in Additional Collateral Debt Securities, 

in each case, subject to the conditions set out in paragraph (b) (Conditions of Sale and/or Reinvestment in 

Additional Collateral Debt Securities) above. In addition, after the Reinvestment Period, the Sale Proceeds of 

any Credit Improved Securities sold will be either (a) reinvested by the Collateral Manager (acting on behalf of 

the Issuer) in Additional Collateral Debt Securities if the Reinvestment Criteria and the Additional 

Reinvestment Criteria are satisfied and the Collateral Manager will use commercially reasonable efforts to 

reinvest such Sale Proceeds within 20 Business Days of receipt of such Sale Proceeds, or (b) deposited in the 

Principal Collection Account or Sterling Principal Account, as applicable, and disbursed in accordance with the 

Priorities of Payment on the first Payment Date following the Due Period in which such sale occurs. 

(d) Sale of Credit Risk Securities 

The Collateral Manager (acting on behalf of the Issuer) may sell Credit Risk Securities at any time and, 

during the Reinvestment Period, reinvest the Sale Proceeds thereof in Additional Collateral Debt Securities, in 

each case, subject to the conditions set out in paragraph (b) (Conditions of Sale and/or Reinvestment in 

Additional Collateral Debt Securities) above. After the Reinvestment Period, the Sale Proceeds of any Credit 

Risk Securities sold will be deposited in the Principal Collection Account or Sterling Principal Account, as 

applicable, and disbursed in accordance with the Priorities of Payment on the first Payment Date following the 

Due Period in which such sale occurs. 

(e) Sale of Defaulted Securities and Defaulted Equity Securities 

The Collateral Manager (acting on behalf of the Issuer) may sell any Defaulted Security or Defaulted 

Equity Security at any time following such Collateral Debt Security becoming a Defaulted Security or following 

receipt of such Defaulted Equity Security, as the case may be, and, during the Reinvestment Period, reinvest the 

Sale Proceeds thereof in Additional Collateral Debt Securities subject to the conditions set out in paragraph (b) 

(Conditions of Sale and/or Reinvestment in Additional Collateral Debt Securities) above. After the 

Reinvestment Period, the Sale Proceeds of any Defaulted Security or Defaulted Equity Security sold shall be 

deposited in the Principal Collection Account or Sterling Principal Account, as applicable, and disbursed in 

accordance with the Priorities of Payment on the first Payment Date following the Due Period in which such 

sale occurs. 

(f) 

Sale of PIK Securities 

The Collateral Manager (acting on behalf of the Issuer) may sell any PIK Security the issuer or obligor (or, 

in the case of a Synthetic Security or Participation, the related Reference Obligor or related Collateral Debt 

Security), of which has actually deferred and capitalised as principal any interest due thereon and has not 

subsequently paid all such interest in full in cash to the Issuer, and, during the Reinvestment Period, reinvest the 

Sale Proceeds thereof in Additional Collateral Debt Securities, in each case, subject to the conditions set out in 

paragraph (b) (Conditions of Sale and/or Reinvestment in Additional Collateral Debt Securities) above. After 

the Reinvestment Period, the Sale Proceeds (up to the par value of the relevant PIK Security) of any PIK 

Security sold shall be deposited in the Principal Collection Account or Sterling Principal Account, as applicable, 

and disbursed in accordance with the Priorities of Payment on the first Payment Date following the Due Period 

in which such sale occurs. Capitalised interest and other amounts in excess of a PIK Security’s par value shall 

be treated as Interest Proceeds and deposited in either the Interest Collection Account or the Sterling Interest 

Account. 

(g) Sale of Equity Securities 

The Collateral Manager (acting on behalf of the Issuer) may sell any Equity Security at any time following 

receipt of an Equity Security, subject to the conditions set out in paragraph (b) (Conditions of Sale and/or 

Reinvestment in Additional Collateral Debt Securities) above. The Sale Proceeds of any Equity Security (other 

than Defaulted Equity Securities) sold shall be deposited in the Principal Collection Account or Sterling 

Principal Account, as applicable, in an amount equal to the original purchase price of such Equity Security when 

acquired or received by the Issuer and any excess shall be deposited in the Interest Collection Account or 

Sterling Interest Account, as applicable, and, in each case, disbursed in accordance with the Priorities of 

Payment on the first Payment Date following the Due Period in which such sale occurs. 

161

(h) Unscheduled Principal Proceeds 

During the Reinvestment Period, the Collateral Manager (acting on behalf of the Issuer) may reinvest all 

Unscheduled Principal Proceeds received in Additional Collateral Debt Securities; provided that any such 

Additional Collateral Debt Security is not a Dutch Ineligible Security such that, after such reinvestment, the 

Reinvestment Criteria and the other requirements as set out in paragraph (b) (Conditions of Sale and/or 

Reinvestment in Additional Collateral Debt Securities) are satisfied as set out therein. 

The Collateral Manager shall use all commercially reasonable efforts to apply Unscheduled Principal 

Proceeds in the acquisition of one or more Additional Collateral Debt Securities satisfying the Reinvestment 

Criteria prior to the end of the Due Period immediately following the Due Period in which such Unscheduled 

Principal Proceeds were received. 

Following the expiry of the Reinvestment Period: 

(i) Unscheduled Principal Proceeds which constitute cash received on Defaulted Obligations may not 

be reinvested; 

(ii) other Unscheduled Principal Proceeds may be reinvested by the Collateral Manager (acting on 

behalf of the Issuer) such that, after such reinvestment, the Reinvestment Criteria, the Additional 

Reinvestment Criteria and the other requirements paragraph (b) (Conditions of Sale and/or 

Reinvestment in Additional Collateral Debt Securities) are satisfied as set out therein; and 

(iii) Unscheduled Principal Proceeds not reinvested prior to the end of the Due Period immediately 

following the Due Period in which such proceeds were received shall be disbursed in accordance 

with the Priority of Payments on the next following Payment Date. 

(i) 

Reinvestment Criteria and Additional Reinvestment Criteria 

During the Reinvestment Period, Euro Principal Proceeds, Sterling Principal Proceeds, Uninvested 

Proceeds and drawings on the Class A1A Notes shall, and after the end of the Reinvestment Period certain 

Unscheduled Principal Proceeds and Sale Proceeds of any Credit Improved Securities may, be reinvested by the 

Collateral Manager (acting on behalf of the Issuer) in Additional Collateral Debt Securities if, immediately after 

such reinvestment, the criteria set out below (the “Reinvestment Criteria”) are satisfied. The Reinvestment 

Criteria are as follows: 

(i) the Coverage Tests and the Collateral Quality Tests are required to be satisfied or in respect of the 

reinvestment of Uninvested Proceeds, drawings under the Class A1A Notes, Unscheduled 

Principal Proceeds permitted to be reinvested and Sale Proceeds of Credit Improved Securities, to 

the extent not so satisfied: 

(A) if, immediately prior to any such acquisition of any Additional Collateral Debt Security, the 

Maximum Weighted Average Fitch Rating Factor Test as calculated in the most recent 

Monthly Report prior to such acquisition was not satisfied, then it must be no further from 

being satisfied after giving effect to such acquisition; 

(B) if, immediately prior to any such acquisition of any Additional Collateral Debt Security, any 

Coverage Test as calculated in the most recent Monthly Report prior thereto was not satisfied, 

such Coverage Test (other than with respect to the reinvestment of (i) Principal Proceeds from 

Defaulted Securities in which case the Coverage Tests must be satisfied immediately prior to 

any such acquisition and (ii) Principal Proceeds from Collateral Debt Securities (other than 

Unscheduled Principal Proceeds), in which case the Coverage Tests must be satisfied after 

giving effect to such acquisition) must be maintained or improved after giving effect to such 

acquisition (compared with the results of such Coverage Test prior to any sale generating the 

Sale Proceeds used to fund the relevant acquisition); 

(C) if, immediately prior to any such acquisition of any Additional Collateral Debt Security, the 

Weighted Average Life Test as calculated in the most recent Monthly Report prior thereto was 

not satisfied, the Weighted Average Life must be less than or equal to the Weighted Average 

Life immediately prior to such acquisition; 

162

(D) if, immediately prior to any such acquisition of any Additional Collateral Debt Security, the 

Minimum Weighted Average Spread Test as calculated in the most recent Monthly Report 

prior thereto was not satisfied, the Minimum Weighted Average Spread must be greater than 

or equal to the Minimum Weighted Average Spread immediately prior to such acquisition; 

(E) if, immediately prior to any such acquisition of any Additional Collateral Debt Security, the 

S&P Minimum Weighted Average Recovery Rate Test as calculated in the most recent 

Monthly Report prior thereto was not satisfied, the S&P Minimum Weighted Average 

Recovery Rate must be greater than or equal to the S&P Minimum Weighted Average 

Recovery Rate immediately prior to such acquisition; 

(F) if, immediately prior to any such acquisition of any Additional Collateral Debt Security, the 

Minimum Fitch Weighted Average Recovery Rate Test as calculated in the most recent 

Monthly Report prior thereto was not satisfied, the Fitch Weighted Average Recovery Rate 

must be greater than or equal to the Fitch Weighted Average Recovery Rate immediately prior 

to such acquisition; 

(G) if, immediately prior to any such acquisition of any Additional Collateral Debt Security, the 

CDO Evaluator Test as calculated in the most recent Monthly Report prior thereto was not 

satisfied, if the acquisition is to be made with Sale Proceeds other than those from the sale of a 

Credit Risk Security or a Defaulted Security, the Class A Loss Differential, the Class B Loss 

Differential, the Class C Loss Differential, the Class D Loss Differential or the Class E Loss 

Differential, respectively, of the Proposed Portfolio is no worse than the Class A Loss 

Differential, the Class B Loss Differential, the Class C Loss Differential, the Class D Loss 

Differential or the Class E Loss Differential, respectively, determined in respect of the 

Portfolio existing prior to the purchase or sale of such Collateral Debt Security; 

(ii) the acquisition satisfies paragraphs (a), (b) and (c) of the definition of “Eligibility Criteria” or, if 

any such restriction contained in paragraph (c) of the definition of “Eligibility Criteria” is not 

satisfied prior to any acquisition of any Additional Collateral Debt Security, such limit is 

maintained or improved after giving effect to the acquisition from the position prior to the relevant 

acquisition or, if the acquisition was funded with Sale Proceeds, prior to the sale generating such 

Sale Proceeds; 

(iii) the purchase price of any Additional Collateral Debt Security on or after the Target Date is equal 

to or less than its Principal Balance unless the Reinvestment OC Test is met immediately prior to 

the acquisition; 

(iv) if the acquisition of the Additional Collateral Debt Securities is to be funded from the Sale 

Proceeds of a Credit Risk Security, Defaulted Security or Defaulted Equity Security, the Principal 

Balance of the applicable Additional Collateral Debt Security is at least equal to the Sale Proceeds 

of the obligation being sold to fund the relevant acquisition unless the Reinvestment OC Ratio is at 

least equal to or higher than the Initial Reinvestment OC Ratio after such reinvestment; and 

(v) if the acquisition of the Additional Collateral Debt Securities is to be funded from the Sale 

Proceeds of any Collateral Debt Securities (other than those set out in paragraph (iv) above), the 

Sale Proceeds of the Collateral Debt Security being sold are equal to or greater than an amount 

sufficient to purchase an Additional Collateral Debt Security with a Principal Balance equal to, or 

greater than, 100 per cent. of the Principal Balance of the Collateral Debt Security being sold 

unless the Reinvestment OC Ratio is at least equal to or higher than the Initial Reinvestment OC 

Ratio after such reinvestment. 

Following the Reinvestment Period, any Unscheduled Principal Proceeds that the Collateral Manager is 

permitted to reinvest as referred to in paragraph (h) (Unscheduled Principal Proceeds) above and Sale Proceeds 

from any Credit Improved Security, may be reinvested by the Collateral Manager (acting on behalf of the 

Issuer) in Additional Collateral Debt Securities if, immediately before and after such reinvestment, the 

Reinvestment Criteria is satisfied and the additional criteria set out below (the “Additional Reinvestment 

Criteria”) are satisfied: 

(i) the Reinvestment OC Ratio is equal to or higher than 105.6 per cent. immediately prior to such 

reinvestment; 

163

(ii) the aggregate Principal Balance of Collateral Debt Securities with a rating of “CCC+” or below by 

S&P or “CCC+” or below by Fitch is less than 5 per cent. of the Maximum Investment Amount; 

(iii) (A) the ratings of the Senior Notes have not been reduced by one or more rating sub categories 

from those assigned on the Issue Date or withdrawn by any Rating Agency (other than 

following a redemption of the relevant Notes in full); or 

(B) the ratings of the Class B Notes, the Class C Notes, the Class D Notes or the Class E Notes 

have not been reduced by two or more rating sub categories from those assigned on the Issue 

Date or withdrawn by any Rating Agency (other than following a redemption of the relevant 

Notes in full); and 

(iv) the Weighted Average Life Test is met. 

In determining whether the Reinvestment Criteria or the Additional Reinvestment Criteria will be satisfied 

by the purchase of any Additional Collateral Debt Security, the Collateral Manager will apply the Collateral 

Quality Tests and paragraphs (b) and (c) of the Eligibility Criteria to (i) the Portfolio prior to such purchase, as if 

any such Collateral Debt Security which has been sold or prepaid, but not replaced were deemed to remain in 

the Portfolio and (ii) the Portfolio as if such purchase had been made with the proposed Additional Collateral 

Debt Security being treated as replacing the same principal amount of any Collateral Debt Security that has been 

sold or prepaid as the Collateral Manager may in its discretion select, with any other Collateral Debt Security 

that has been sold or prepaid but not replaced being deemed to remain in the Portfolio. The above methodology 

will not apply following the sale of a Credit Risk Security or a Defaulted Security. 

It is expected that the Collateral Manager will reinvest Sale Proceeds, to the extent permitted or required as 

described above, in Additional Collateral Debt Securities promptly following such sale. In certain of the 

circumstances described above, the Collateral Manager is required to reinvest such Sale Proceeds on a best 

efforts basis within specified time limits. In the event that the Collateral Manager does not immediately apply 

any such Sale Proceeds in the acquisition or exercise of Additional Collateral Debt Securities, it shall procure 

that such amounts are paid into the Additional Collateral Account or Sterling Additional Collateral Account, as 

applicable, and will notify the Collateral Administrator that such amounts have been designated for reinvestment 

pursuant to the provisions of the Collateral Management Agreement, together with details of the time limits for 

such reinvestment applicable thereto. In the event that the Collateral Manager fails to reinvest any such 

designated Sale Proceeds within the time limits prescribed in the Collateral Management Agreement, they will 

cease to be designated for reinvestment and will be treated as Principal Proceeds for the applicable Due Period 

and paid out in accordance with the Priorities of Payment on the next following Payment Date; to the extent that 

this results in the Class A1A Notes being repaid, the amount repaid will, until cancellation of the commitment 

pursuant to the Class A1A Note Purchase Agreement, be capable of being redrawn for investment in Additional 

Collateral Debt Securities during the Reinvestment Period. 

(j) 

Collateral Enhancement Securities 

The Collateral Manager (acting on behalf of the Issuer) may, from time to time, purchase Collateral 

Enhancement Securities independently or as part of a unit with Collateral Debt Securities being so purchased, 

provided that such Collateral Enhancement Securities may not constitute Margin Stock (as defined under 

Regulation U issued by the Board of Governors of the United States Federal Reserve System). The amounts 

that may be applied by the Collateral Manager (acting on behalf of the Issuer) in the acquisition of Collateral 

Enhancement Securities shall be limited to amounts standing to the credit of the Collateral Enhancement 

Account from time to time. The Collateral Manager (acting on behalf of the Issuer) may sell Collateral 

Enhancement Securities at any time. 

(k) Exercise of Warrants and Options 

The Collateral Manager may at any time exercise a warrant or option attached to a Collateral Debt Security 

or comprised in a Collateral Enhancement Security and shall request the Trustee to instruct the Account Bank to 

make any necessary payment in respect of such exercise. 

(l) 

Margin Stock and Dutch Ineligible Securities 

The Collateral Management Agreement requires that the Collateral Manager, on behalf of the Issuer, will 

sell any Collateral Debt Security, Defaulted Equity Security or Collateral Enhancement Security which is or at 

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any time becomes Margin Stock (as defined under Regulation U issued by the Board of Governors of the United 

States Federal Reserve System) or a Dutch Ineligible Security, as soon as practicable following such event. 

(m) Redemption of the Notes or Enforcement 

In the event of an optional redemption of the Notes pursuant to the Conditions or upon receipt of 

notification from the Trustee of the enforcement of the security over the Collateral, the Collateral Manager will 

(at the direction of the Trustee following the enforcement of such security) sell all or part of the Portfolio in 

order to fund such redemption or prepayment without regard to the foregoing limitations, subject always to any 

limitations or restrictions set out in the Conditions and the Trust Deed. 

(n) Euro Principal Proceeds and Sterling Principal Proceeds 

The Collateral Management Agreement provides that the Collateral Manager, on behalf of the Issuer, may 

only use Euro Principal Proceeds to acquire Euro Collateral Debt Securities and Sterling Principal Proceeds to 

acquire Sterling Collateral Debt Securities, provided that a Collateral Debt Security denominated in Sterling or 

any other non-Euro currency may be acquired by the Collateral Manager on behalf of the Issuer using Euro 

Principal Proceeds if such Collateral Debt Security is the subject of an Asset Swap Transaction pursuant to a 

Hedge Agreement swapping the Sterling or non-Euro amounts received on such Collateral Debt Security into 

Euro. 

7. Synthetic Securities, Non-Euro Denominated Securities and PIK Securities 

(a) Synthetic Securities 

The Collateral Manager, acting on behalf of the Issuer, may from time to time, during the Reinvestment 

Period acquire Collateral Debt Securities which are Synthetic Securities. For the avoidance of doubt, any 

acquisition of a Synthetic Security shall be subject to Rating Agency Confirmation. 

As part of the acquisition of or entry into a Synthetic Security which is a credit default swap transaction, the 

Issuer or the Collateral Manager, acting on the Issuer’s behalf, may be required to provide Synthetic Security 

Collateral to the applicable Synthetic Security Obligor which it will deposit with a custodian or other third party 

as security for its payment obligations to the Synthetic Security Obligor under the Synthetic Security. Subject 

as provided below, the Issuer may purchase such Synthetic Security Collateral notwithstanding that it may not 

satisfy the Eligibility Criteria, provided that such Synthetic Security Collateral may not include Margin Stock 

(as defined under Regulation U issued by the Board of Governors of the United States Federal Reserve System). 

For the purposes of the Collateral Management Agreement, the acquisition cost of any Synthetic Security 

Collateral shall be included in the purchase price of any Collateral Debt Security that is a Synthetic Security. 

The Issuer may grant a first security interest in such Synthetic Security Collateral to the related Synthetic 

Security Obligor and a second priority security interest to the Trustee for the benefit of the Secured Parties and 

shall cause the Synthetic Security Obligor and the custodian or other third party holding such Synthetic Security 

Collateral to be notified of and acknowledge such security interests. Prior to the occurrence of any default under 

such Synthetic Security, any payments in respect of Synthetic Security Collateral not retained by the Synthetic 

Security Obligor pursuant to the terms of a Synthetic Security shall be paid to the Issuer prior to the release of 

the Synthetic Security Collateral. Interest received on the Synthetic Security Collateral shall constitute Euro 

Interest Proceeds or Sterling Interest Proceeds, as applicable. Principal payments received thereon shall 

constitute Euro Principal Proceeds or Sterling Principal Proceeds, as applicable. Upon any release of Synthetic 

Security Collateral from the first priority security interest in favour of the applicable Synthetic Security Obligor 

upon termination or sale of such Synthetic Security or otherwise, such Synthetic Security Collateral will: 

(i) to the extent that it satisfies the Eligibility Criteria and Reinvestment Criteria, at the discretion of 

the Collateral Manager, be retained and shall constitute a Collateral Debt Security; or 

(ii) in all other circumstances be sold as soon as reasonably practicable. 

Any Distributions received upon liquidation of Synthetic Security Collateral shall be deemed to 

constitute: 

(A) Sale Proceeds in the event that the Synthetic Security or the Synthetic Security Obligor’s 

security interest was terminated by the Collateral Manager or sold or assigned; 

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(B) Unscheduled Principal Proceeds in the event that the Synthetic Security or the Synthetic 

Security Obligor’s security interest was subject to an early termination other than by the 

Collateral Manager; or 

(C) Euro Principal Proceeds or Sterling Principal Proceeds, as applicable in the event that the 

Synthetic Security was terminated at its scheduled maturity. 

The Collateral Manager, on behalf of the Issuer, shall use commercially reasonable efforts to sell and/or 

procure a full discharge of each Reference Obligation delivered to the Issuer no earlier than 30 calendar days 

after the delivery to the Issuer of such Reference Obligation and before the date which is 12 months after its 

delivery to the Issuer but in any event no later than the date which is 5 Business Days prior the Maturity Date; 

provided that if the delivery of such Reference Obligation would otherwise satisfy the requirements set out in 

the Collateral Management Agreement applicable to the acquisition of Collateral Debt Securities, the Collateral 

Manager, on behalf of the Issuer, may elect to treat such Reference Obligation delivered to the Issuer as part of 

the Portfolio by notice to the Collateral Administrator and the Trustee no later than the Determination Date 

following the delivery of such Reference Obligation and such Reference Obligation shall be treated as part of 

the Portfolio for all purposes. 

(b) Sterling Collateral Debt Securities and Non-Euro Collateral Debt Securities 

In determining any Coverage Test, the Reinvestment OC Test and any Collateral Quality Test, the 

outstanding Sterling principal or interest amount in respect of a Sterling Collateral Debt Security will be 

converted into Euro at the Spot Rate. 

In determining any Coverage Test, the Reinvestment OC Test and any Collateral Quality Test, the 

outstanding non-Euro principal or interest amount in respect of a Non-Euro Collateral Debt Security will be 

converted into Euro at the Asset Swap Transaction Exchange Rate. 

(c) PIK Securities 

In determining the Coverage Tests, the Reinvestment OC Test and any Collateral Quality Test, PIK 

Securities will be treated as having an effective rate of interest in respect of such PIK Security equal to the rate 

of current interest in respect of the relevant PIK Security. 

8. The Collateral Quality Tests 

(a) General 

The Collateral Quality Tests will be used primarily as the criteria for purchasing Collateral Debt Securities. 

The “Collateral Quality Tests” will consist of the Maximum Weighted Average Fitch Rating Factor Test, the 

Minimum Fitch Weighted Average Recovery Rate Test, the Weighted Average Life Test, the Minimum 

Weighted Average Spread Test, the S&P Minimum Weighted Average Recovery Rate Test and the CDO 

Evaluator Test. The Collateral Administrator will carry out the Collateral Quality Tests: 

(i) as of the Target Date; 

(ii) upon a substitution of, or a default under, a Collateral Debt Security; 

(iii) as of the date of acquisition of any Additional Collateral Debt Security (which calculation shall, if 

such acquisition is to be funded by a drawing under the Class A1A Notes, be made within 2 

Business Days of receipt of the Drawing Notice in respect thereof); 

(iv) the 20 th day of each month after the Target Date commencing in January 2008 (or if such day is not 

a Business Day, the following Business Day); 

(v) each Determination Date after the Target Date; and 

(vi) with reasonable notice, on any Business Day requested by any Rating Agency or the Trustee, 

(any such date, a “Measurement Date”). 

(b) S&P Test Matrix and Fitch Test Matrix 

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For the purposes of the Minimum Weighted Average Spread Test and the S&P Minimum Weighted 

Average Recovery Rate Test, the Collateral Manager shall, on behalf of the Issuer, not later than five Business 

Days prior to the Target Date and may at any time thereafter, upon five Business Days’ notice, notify the 

Trustee, the Collateral Administrator and the Rating Agencies of the S&P quality case (“S&P Quality Case”) 

which is to apply (which election shall be at the Collateral Manager’s discretion) in respect of such tests in 

respect of any Measurement Date occurring on or after the Target Date, as referred to in the S&P test matrix (the 

“S&P Test Matrix”) set out below. In no circumstances shall the Collateral Manager be under any obligation 

to elect that a different S&P Quality Case shall apply. 

S&P Test Matrix 

Quality Case 

Options 

Minimum 

Weighted Average 

Spread Test 

AAA AA A BBB BB 

S&P Minimum Weighted Average Recovery Rate Test (per cent.) 

1 200 57.5 per cent. 61.5 per cent. 65.5 per cent. 68.0 per cent. 70.5 per cent. 









Subject to the provisions provided below, on and after the Target Date, the Collateral Manager (on behalf of 

the Issuer), will have the option to elect which of the cases set forth in the matrix below (the “Fitch Test 

Matrix”) shall be applicable for the purposes of the Maximum Weighted Average Fitch Rating Factor Test, the 

Minimum Weighted Average Spread Test and the Minimum Fitch Weighted Average Recovery Rate Test. 

(i) For any given case, the applicable column for performing the Maximum Weighted Average Fitch 

Rating Factor Test will be the column which corresponds to the elected case. 

(ii) For any given case, the applicable row for performing the Minimum Weighted Average Spread 

Test will be the row which corresponds to the elected case. 

On the Target Date, the Collateral Manager (on behalf of the Issuer), will be required to elect which case 

shall apply initially. Thereafter, on ten Business Days’ written notice to the Issuer, the Trustee and the Collateral 

Administrator, the Collateral Manager (on behalf of the Issuer) may elect to have a different case apply, 

provided that the Maximum Weighted Average Fitch Rating Factor Test, the Minimum Weighted Average 

Spread Test and the Minimum Fitch Weighted Average Recovery Rate Test applicable to the case to which the 

Collateral Manager (on behalf of the Issuer), desires to change are satisfied. In no event will the Issuer or the 

Collateral Manager (on behalf of the Issuer) be obliged to elect to have a different case apply. 

Weighted Average Fitch Rating Factor 

Minimum 

Weighted 

Average 

Spread 24.5 25.5 26.5 27.5 28.5 29.5 

Minimum Fitch Weighted Average Recovery Rate 

2.00 per cent. 64.5 per cent. 66.5 per cent. 69.0 per cent. 71.0 per cent. 72.5 per cent. 74.0 per cent. 









167

In addition, for any date of determination, with respect to the tables comprising the Fitch Test Matrix for the 

purposes of the Maximum Weighted Average Fitch Rating Factor Test, the Minimum Weighted Average Spread 

Test and the Minimum Fitch Weighted Average Recovery Rate Test, as applicable, the Collateral Manager may 

elect to (i) apply a different row and/or column of any table, (ii) add additional rows and/or columns to any table 

(which may or may not include a combination of the existing values), (iii) modify rows and/or columns to any 

table or (iv) add further tables, in each case so long as, immediately after giving effect to the changes, each of 

the Maximum Weighted Average Fitch Rating Factor Test, the Minimum Weighted Average Spread Test and 

the Minimum Fitch Weighted Average Recovery Rate Test will be satisfied (or if not satisfied, such test will be 

at least as close to being satisfied) according to the scores that are prescribed by the newly selected, added or 

modified row, columns or table; provided that, no rows, columns or tables may be added or modified unless 

Fitch has confirmed that such proposed action will not result in a change to Fitch’s then current rating of the 

Notes. 

(c) Maximum Weighted Average Fitch Rating Factor Test 

The “Maximum Weighted Average Fitch Rating Factor Test” will be satisfied as at any Measurement 

Date from (and including) the Target Date if the Weighted Average Fitch Rating Factor as at such Measurement 

Date is less than or equal to the level specified under the case specified in the Fitch Test Matrix as at such 

Measurement Date. 

The “Weighted Average Fitch Rating Factor” is the number determined by (i) summing the products 

obtained by multiplying the Principal Balance of each Collateral Debt Security (excluding Defaulted Securities) 

by its Fitch Rating Factor, (ii) dividing such sum by the aggregate of the Principal Balance of each Collateral 

Debt Security (excluding Defaulted Securities) and (iii) rounding the result to the nearest one decimal place. 

The “Fitch Rating Factor” is the number set forth in the table below opposite the Fitch Rating of such 


Rating 

Factors 

AAA 0.19 

AA+ 0.57 

AA 0.89 

AA- 1.15 

A+ 1.65 

A 1.85 

A- 2.44 

BBB+ 3.13 

BBB 3.74 

BBB- 7.26 

BB+ 10.18 

BB 13.53 

BB- 18.46 

B+ 22.84 

B 27.67 

B- 34.98 

CCC+ 43.36 

CCC 48.52 

CCC- 62.76 

CC 77.00 

C 95.00 

DDD — D 100.00 

(d) Minimum Fitch Weighted Average Recovery Rate Test 

The “Minimum Fitch Weighted Average Recovery Rate Test” will be satisfied as at any Measurement 

Date from (and including) the Target Date if the Fitch Weighted Average Recovery Rate is equal to or greater 

than the level specified under the case specified in the Fitch Test Matrix as at such Measurement Date. For the 

purposes of this test, all Collateral Debt Securities which are Defaulted Securities shall be excluded. 

The “Fitch Weighted Average Recovery Rate” shall be the rate (expressed as a percentage) determined by 

summing the products obtained by multiplying the outstanding Principal Balance of each Collateral Debt 

Security (excluding Defaulted Securities) by the Fitch Recovery Rate in relation thereto and dividing such sum 

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y the aggregate Principal Balance of all Collateral Debt Securities (excluding Defaulted Securities) and 

rounding to the nearest 0.1 per cent. 

The “Fitch Recovery Rate” means, in respect of a Collateral Debt Security, the recovery rate assigned 

thereto by Fitch. 

(e) The Weighted Average Life Test 

The “Weighted Average Life Test” will be satisfied as of any Measurement Date falling on or after the 

Target Date if the Weighted Average Life on such Measurement Date is equal to or less than the number of 

years (including any fraction of a year) set out in the second column of the table below corresponding to the 

relevant Measurement Date. 

Measurement Date falling between 

July 2007 to July 2008 










July 2017 and after 

Required Weighted Average Life 

11 years 

10 years 

9 years 

8 years 

7 years 

6 years 

5 years 

4 years 

3 years 

2 years 

1 year 

“Weighted Average Life” means as of any Measurement Date, an amount of years obtained by (i) 

summing the products obtained by multiplying (A) the Average Life at that time of each Collateral Debt 

Security; and (B) the Principal Balance at that time of the Collateral Debt Security; and (ii) dividing such sum 

by the aggregate Principal Balance at that time of all Collateral Debt Securities. 

“Average Life” means, in respect of any Collateral Debt Security, an amount equal to (a) the aggregate of 

the products obtained by multiplying each scheduled principal payment due on the relevant Collateral Debt 

Security by the remaining number of years (rounded to the nearest hundredth) until such scheduled principal 

payment is due, divided by (b) the total of all scheduled principal payments due on such Collateral Debt 

Security. 

For the purposes of the Weighted Average Life Test, if any Collateral Debt Security included in such 

calculation is the subject of a Securities Lending Agreement and an event of default has occurred and is 

continuing with respect to such Securities Lending Agreement, the Collateral Debt Securities the subject of such 

defaulted Securities Lending Agreement as well as any Securities Lending Collateral provided with respect to 

such defaulted Securities Lending Agreement shall be excluded from the calculation of the Weighted Average 

Life Test. 

(f) 

The Minimum Weighted Average Spread Test 

The “Minimum Weighted Average Spread Test” will be satisfied as of any Measurement Date from (and 

including) the Target Date if the Weighted Average Spread as at such Measurement Date equals or exceeds the 

Minimum Weighted Average Spread as at such Measurement Date. 

The “Minimum Weighted Average Spread” as of any Measurement Date will equal the greater of the 

number required by (a) the Fitch Test Matrix and (b) the S&P Test Matrix (in each instance based upon the case 

specified therein which is applicable as at such Measurement Date). 

There shall not be included in the calculation of the Weighted Average Spread or any component thereof, 

any Non-Performing Security. 

The “Weighted Average Spread” as of any Measurement Date will equal the sum of (A) an amount 

(rounded up to the next 0.001 per cent.) determined by (a) multiplying the Principal Balance of each Euro 

Collateral Debt Security and Non-Euro Collateral Debt Security by the per annum spread over the applicable 

EURIBOR (or in the case of Non-Euro Collateral Debt Securities, over the applicable floating rate index) and 

(b) aggregating the amounts determined pursuant to paragraph (a) for all Euro Collateral Debt Securities and 

Non-Euro Collateral Debt Securities, and (c) dividing such amount by the aggregate of the Principal Balances of 

169

all Euro Collateral Debt Securities, Non-Euro Collateral Debt Securities (converted into Euro using the related 

Asset Swap Transaction Exchange Rate) and Sterling Collateral Debt Securities (converted into Euro using the 

Issue Date Spot Rate); and (B) an amount (rounded up to the next 0.001 per cent.) determined by (a) multiplying 

the Principal Balance of each Sterling Collateral Debt Security by the per annum spread over the applicable 

LIBOR and (b) aggregating the amounts determined pursuant to paragraph (a) for all Sterling Collateral Debt 

Securities, and (c) dividing such amount by the aggregate of the Principal Balances of all Euro Collateral Debt 

Securities, Non-Euro Collateral Debt Securities (converted into Euro using the related Asset Swap Transaction 

Exchange Rate) and Sterling Collateral Debt Securities (converted into Euro using the Issue Date Spot Rate). 

(g) The S&P Minimum Weighted Average Recovery Rate Test 

The “S&P Minimum Weighted Average Recovery Rate Test” will be satisfied as of any Measurement 

Date on or after the Target Date if the S&P Minimum Average Recovery Rate on such Measurement Date 

equals or exceeds the amount specified in the S&P Test Matrix which is applicable under the S&P Quality Case 

selected by the Issuer at the recommendation of the Collateral Manager. 

The “S&P Minimum Average Recovery Rate”, as of any Measurement Date, is the percentage obtained 

by aggregating the products obtained by multiplying the Principal Balance of each Collateral Debt Security by 

its S&P Priority Category Recovery Rate as set forth in the table representing such percentages in the Collateral 

Administration Agreement. For the purposes of determining the S&P Minimum Average Recovery Rate, (a) the 

Principal Balance of a Defaulted Security will be deemed to be equal to its outstanding principal amount; (b) 

Synthetic Securities shall be assigned to such Priority Category as S&P may specify; and (c) Defaulted 

Securities of the type described in paragraphs (d) or (e) of the definition of Defaulted Security shall not be 

included in the calculations of Principal Balances for the purposes of the S&P Minimum Average Recovery 

Rate. 

(h) CDO Evaluator Test 

The “CDO Evaluator Test” will, as of any Measurement Date falling on or after the Target Date and prior 

to the end of the Reinvestment Period, be satisfied if after giving effect to the purchase or sale of a Collateral 

Debt Security (a) the Class A Loss Differential of the Proposed Portfolio is positive; (b) the Class B Loss 

Differential of the Proposed Portfolio is positive; (c) the Class C Loss Differential of the Proposed Portfolio is 

positive; (d) the Class D Loss Differential of the Proposed Portfolio is positive and (e) the Class E Loss 

Differential of the Proposed Portfolio is positive. The CDO Evaluator Test will, prior to the end of the 

Reinvestment Period, be considered to be “improved” if (a) the Class A Loss Differential of the Proposed 

Portfolio is greater than the Class A Loss Differential of the Current Portfolio; (b) the Class B Loss Differential 

of the Proposed Portfolio is greater than the Class B Loss Differential of the Current Portfolio; (c) the Class C 

Loss Differential of the Proposed Portfolio is greater than the Class C Loss Differential of the Current Portfolio; 

(d) the Class D Loss Differential of the Proposed Portfolio is greater than the Class D Loss Differential of the 

Current Portfolio and (e) the Class E Loss Differential of the Proposed Portfolio is greater than the Class E Loss 

Differential of the Current Portfolio. 

The “Class A Break Even Loss Rate”, at any time, is the maximum percentage of defaults which the 

Current Portfolio or the Proposed Portfolio, as applicable, can sustain, as determined by S&P through 

application of the CDO Evaluator, which after giving effect to S&P’s assumptions on recoveries and timing and 

to the Priorities of Payment, will result in sufficient funds remaining for the ultimate payment of the Senior 

Notes in full and the timely payment of interest on the Senior Notes. 

The “Class A Loss Differential”, at any time, is the rate calculated by subtracting the Class A Scenario 

Loss Rate at such time from the Class A Break Even Loss Rate at that time. 

The “Class A Scenario Loss Rate”, at any time, is an estimate of the cumulative default rate for the 

Current Portfolio or the Proposed Portfolio, as applicable, consistent with an “AAA” rating of the Senior Notes 

by S&P, determined by application of the CDO Evaluator at such time. 

The “Class B Break Even Loss Rate” at any time, is the maximum percentage of defaults which the 



to the Priorities of Payment, will result in sufficient funds remaining for the ultimate payment of the Class B 

Notes in full and the ultimate payment of interest on the Class B Notes. 

170

The “Class B Loss Differential” at any time, is the rate calculated by subtracting the Class B Scenario Loss 

Rate at such time from the Class B Break Even Loss Rate at such time. 

The “Class B Scenario Loss Rate” at any time, is an estimate of the cumulative default rate for the Current 

Portfolio or the Proposed Portfolio, as applicable, consistent with a “AA” rating of the Class B Notes by S&P 

determined by application of the CDO Evaluator at such time. 

The “Class C Break Even Loss Rate” at any time, is the maximum percentage of defaults which the 



to the Priorities of Payment, will result in sufficient funds remaining for the ultimate payment of the Class C 

Notes in full and the ultimate payment of interest on the Class C Notes. 

The “Class C Loss Differential” at any time, is the rate calculated by subtracting the Class C Scenario 

Loss Rate at such time from the Class C Break Even Loss Rate at that time. 

The “Class C Scenario Loss Rate” at any time, is an estimate of the cumulative default rate for the Current 

Portfolio or the Proposed Portfolio, as applicable, consistent with a “A” rating of the Class C Notes by S&P, 


The “Class D Break Even Loss Rate” at any time, is the maximum percentage of defaults which the 



to the Priorities of Payment, will result in sufficient funds remaining for the ultimate payment of the Class D 

Notes in full and the ultimate payment of interest on the Class D Notes. 

The “Class D Loss Differential” at any time, is the rate calculated by subtracting the Class D Scenario 

Loss Rate at such time from the Class D Break Even Loss Rate at such time. 

The “Class D Scenario Loss Rate” at any time, is an estimate of the cumulative default rate for the Current 

Portfolio or the Proposed Portfolio, as applicable, consistent with a “BBB” rating of the Class D Notes by S&P 


The “Class E Break Even Loss Rate” at any time, is the maximum percentage of defaults which the 



to the Priorities of Payment, will result in sufficient funds remaining for the ultimate payment of the Class E 

Notes in full and the ultimate payment of interest on the Class E Notes. 

The “Class E Loss Differential” at any time, is the rate calculated by subtracting the Class E Scenario Loss 

Rate at such time from the Class E Break Even Loss Rate at such time. 

The “Class E Scenario Loss Rate” at any time, is an estimate of the cumulative default rate for the Current 

Portfolio or the Proposed Portfolio, as applicable, consistent with a “BB” rating of the Class E Notes by S&P 


The “Current Portfolio” means the portfolio (measured by Principal Balance) of Collateral Debt 

Securities, Euro Principal Proceeds, Sterling Principal Proceeds and Uninvested Proceeds held as cash and 

Eligible Investments purchased with Euro Principal Proceeds, Sterling Principal Proceeds or Uninvested 

Proceeds existing immediately prior to the sale, maturity or other disposition of a Collateral Debt Security or a 

proposed purchase of a Collateral Debt Security, as the case may be. 

The “Proposed Portfolio” means the portfolio (measured by Principal Balance) of Collateral Debt 

Securities, Euro Principal Proceeds, Sterling Principal Proceeds and Uninvested Proceeds held as cash and 

Eligible Investments purchased with Euro Principal Proceeds, Sterling Principal Proceeds or Uninvested 

Proceeds resulting from the sale, maturity or other disposition of a Collateral Debt Security or a proposed 

purchase of a Collateral Debt Security, as the case may be. 

The “CDO Evaluator” is the dynamic, analytical computer model developed by S&P used to estimate 

default risk of Collateral Debt Securities and provided to the Collateral Manager and the Collateral 

Administrator on or before the Issue Date, as it may be modified by S&P from time to time. The CDO 

Evaluator calculates the cumulative default rate of a pool of Collateral Debt Securities consistent with a 

171

specified benchmark rating level based upon S&P’s proprietary corporate debt default studies. In calculating 

the Class A Scenario Loss Rate, the Class B Scenario Loss Rate, the Class C Scenario Loss Rate, the Class D 

Scenario Loss Rate and the Class E Scenario Loss Rate, the CDO Evaluator considers each obligor’s most 

senior unsecured debt rating, the number of obligors in the Portfolio, the obligor and industry concentration in 

the Portfolio and the remaining weighted average life of the Collateral Debt Securities and calculates a 

cumulative default rate based on the statistical probability of distributions of defaults on the Collateral Debt 

Securities and Eligible Investments. 

There can be no assurance that the actual defaults of the Collateral Debt Securities or the timing of defaults 

will not exceed those assumed in the application of the CDO Evaluator or that recovery rates with respect 

thereto will not differ from those assumed in the CDO Evaluator Test. S&P makes no representation that actual 

defaults will not exceed those determined by the CDO Evaluator. The ratings of the Senior Notes, the Class B 

Notes, the Class C Notes, the Class D Notes and the Class E Notes may become subject to review for potential 

downgrade due to the Collateral Manager’s inability to sell Collateral Debt Securities deemed Credit Risk 

Securities by the Collateral Manager. None of the Issuer, the Collateral Manager and the Initial Purchaser 

makes any representation as to the expected rate of defaults of the Collateral Debt Securities or the timing of the 

defaults or as to the expected recovery rate or the timing of recoveries. 

(i) 

CDO Evaluator Test after the Reinvestment Period 

After the Reinvestment Period, the CDO Evaluator Test will be satisfied if after giving effect to the 

purchase or sale of a Collateral Debt Security, the Class A Loss Differential, the Class B Loss Differential, the 

Class C Loss Differential, the Class D Loss Differential and the Class E Loss Differential, respectively, of the 

Proposed Portfolio is no worse than the Class A Loss Differential, the Class B Loss Differential, the Class C 

Loss Differential, the Class D Loss Differential or the Class E Loss Differential, respectively, determined in 

respect of the Portfolio existing prior to the purchase or sale of such Collateral Debt Security. 

9. The Coverage Test and Reinvestment OC Test 

The Coverage Tests consist of the Senior Interest Coverage Test, the Senior Overcollateralisation Ratio 

Test, the Class B Overcollateralisation Ratio Test, the Class C Overcollateralisation Ratio Test, the Class D 

Overcollateralisation Ratio Test and the Class E Overcollateralisation Ratio Test. The Coverage Tests are used 

primarily to determine whether interest may be paid on the Class B Notes, the Class C Notes, the Class D Notes, 

the Class E Notes and the Class N Notes, whether amounts may be drawn under the Class A1A Notes and 

invested in Additional Collateral Debt Securities and whether Euro Principal Proceeds or Sterling Principal 

Proceeds may be reinvested in Additional Collateral Debt Securities, or whether Euro Principal Proceeds or 

Sterling Principal Proceeds and, to the extent needed, funds which would otherwise be used to pay interest and 

other unpaid expenses set out in the Priorities of Payment must instead be used to redeem and repay, as 

applicable, the Senior Notes and the other Notes. 

In the event that the Senior Coverage Tests (as calculated by the Collateral Administrator) are not satisfied 

on the immediately preceding Determination Date, Interest Proceeds and thereafter Principal Proceeds will be 

used on the next Payment Date, subject to the Priorities of Payment, to the extent necessary and available, to 

redeem the Senior Notes, to the extent necessary to cause the relevant Senior Coverage Test to be met if 

recalculated following such redemption. 

In the event that the Class B Overcollateralisation Ratio Test (as calculated by the Collateral Administrator) 

is not satisfied on the immediately preceding Determination Date, Interest Proceeds and thereafter Principal 

Proceeds will be used on the next Payment Date, subject to the Priorities of Payment, to the extent necessary and 

available, first to redeem the Senior Notes, and following such redemption in full, to redeem the Class B Notes 

(on a pro rata basis) in whole or in part, to the extent necessary to cause the Class B Overcollateralisation Ratio 

Test to be met if recalculated following such redemption. 

In the event that the Class C Overcollateralisation Ratio Test (as calculated by the Collateral Administrator) 



available, first to redeem the Senior Notes and following such redemption in full, to redeem the Class B Notes 

(on a pro rata basis), and following such redemption in full, to redeem the Class C Notes (on a pro rata basis) in 

whole or in part, to the extent necessary to cause the Class C Overcollateralisation Ratio Test to be met if 

recalculated following such redemption. 

172

In the event that the Class D Overcollateralisation Ratio Test (as calculated by the Collateral Administrator) 



available, first to redeem and the Senior Notes and following such redemption in full, to redeem the Class B 

Notes (on a pro rata basis), and following such redemption in full, to redeem the Class C Notes (on a pro rata 

basis), and following such redemption in full, to redeem the Class D Notes (on a pro rata basis) in whole or in 

part, to the extent necessary to cause the Class D Overcollateralisation Ratio Test to be met if recalculated 

following such redemption. 

In the event that the Class E Overcollateralisation Ratio Test (as calculated by the Collateral Administrator) 



available, first to redeem the Senior Notes and following such redemption in full, to redeem the Class B Notes 

(on a pro rata basis), and following such redemption in full, to redeem the Class C Notes (on a pro rata basis), 

and following such redemption in full, to redeem the Class D Notes (on a pro rata basis), and following such 

redemption in full, to redeem the Class E Notes (on a pro rata basis) in whole or in part, to the extent necessary 

to cause the Class E Overcollateralisation Ratio Test to be met if recalculated following such redemption. 

The Reinvestment OC Test is used during the Reinvestment Period primarily to determine whether Interest 

Proceeds may be used to pay the amounts payable under Condition 3(c)(i)(BB) to (KK) (inclusive) or whether 

such Interest Proceeds should instead be placed in the Principal Collection Account in order (i) to pay the 

amounts payable under Condition 3(c)(iv) (Application of Principal Proceeds on Payment Dates) and Condition 

3(c)(iii) (Applications Principal Payments Between Payment Dates) or (ii) to cause the Reinvestment OC Test 

(as calculated by the Collateral Administrator) to be met if recalculated following such transfer. 

(a) Senior Overcollateralisation Ratio Test 

The “Senior Overcollateralisation Ratio Test” shall be satisfied in respect of any Measurement Date 

falling on or after the Target Date if, on such Measurement Date, the Senior Overcollateralisation Ratio is at 

least 133.9 per cent. 

(b) Senior Interest Coverage Test 

The “Senior Interest Coverage Test” shall be satisfied in respect of any Measurement Date falling on or 

after the Target Date if, on such Measurement Date, the Senior Interest Coverage Ratio is at least 105.0 per cent. 

(c) Class B Overcollateralisation Ratio Test 

The “Class B Overcollateralisation Ratio Test” shall be satisfied in respect of any Measurement Date 

falling or after the Target Date if, on such Measurement Date, the Class B Overcollateralisation Ratio is at least 

125 per cent. 

(d) Class C Overcollateralisation Ratio Test 

The “Class C Overcollateralisation Ratio Test” shall be satisfied in respect of any Measurement Date 

falling on or after the Target Date if, on such Measurement Date, the Class C Overcollateralisation Ratio is at 


(e) Class D Overcollateralisation Ratio Test 

The “Class D Overcollateralisation Ratio Test” shall be satisfied in respect of any Measurement Date 

falling on or after the Target Date if, on such Measurement Date, the Class D Overcollateralisation Ratio is at 


(f) 

Class E Overcollateralisation Ratio Test 

The “Class E Overcollateralisation Ratio Test” shall be satisfied in respect of any Measurement Date 

falling on or after the Target Date if, on such Measurement Date, the Class E Overcollateralisation Ratio is at 


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(g) Reinvestment OC Test 

The “Reinvestment OC Test” will be satisfied on any Measurement Date if the Reinvestment OC Ratio is 

at least 105.6 per cent. on such Measurement Date. 

10. Treatment of Synthetic Securities 

For the purposes of the Coverage Tests, the Reinvestment OC Test, the Collateral Quality Tests and the 

limits set forth in paragraphs (b) and (c) of the definition of “Eligibility Criteria”, a Synthetic Security shall be 

included as a Collateral Debt Security having the relevant characteristics of the Synthetic Security and not of the 

related Reference Obligation, unless the Collateral Manager determines otherwise and receives Rating Agency 

Confirmation. 

The interest rate or spread of a floating rate Synthetic Security shall be a fraction, expressed as a percentage 

and annualised, the numerator of which is the current stated interest rate or, as the case may be, periodic spread 

over EURIBOR or as the case may be LIBOR scheduled to be received by the Issuer from the related Synthetic 

Security Obligor and the denominator of which is the notional balance of such Synthetic Security. 

If the Reference Obligation pursuant to a Synthetic Security is ever delivered to the Issuer and such 

Reference Obligation does not satisfy the Eligibility Criteria when delivered, the Issuer will not be permitted to 

include such Reference Obligation as a Collateral Debt Security for the purposes of the Collateral Quality Test, 

the Coverage Tests, the Reinvestment OC Tests or the Reinvestment Criteria. 

11. Securities Lending 

Provided that no Issuer Event of Default has occurred, the Issuer or the Collateral Manager acting on behalf 

of the Issuer, may from time to time and on a limited basis, lend Collateral Debt Securities to a Securities 

Lending Counterparty which has a short term debt rating or a guarantor with such rating of at least “F1” from 

Fitch and “A-1+” from S&P, and a long term debt rating of at least “A+” from Fitch. Any Securities Lending 

Agreement entered into by the Issuer with a Securities Lending Counterparty shall be for a term of no longer 

than 90 days. At the time a Securities Lending Agreement is entered into by the Issuer, the percentage of the 

Collateral Debt Securities loaned to a single Securities Lending Counterparty and all Securities Lending 

Counterparties and the percentage of the Maximum Investment Amount that represents Participations and 

Synthetic Securities entered into by the Issuer with such Securities Lending Counterparty shall not exceed the 

limitations set forth in paragraph (c)(x)(A) of the Eligibility Criteria for the credit rating of such Securities 

Lending Counterparty and the percentage of the Collateral Debt Securities loaned by the Issuer to Securities 

Lending Counterparty. 

The Issuer shall not enter into any Securities Lending Agreement with a Securities Lending Counterparty if 

upon entering into such Securities Lending Agreement: 

(i) the aggregate Principal Balance of the Collateral Debt Securities loaned or to be loaned by the 

Issuer pursuant to all Securities Lending Agreements (including the proposed Securities Lending 

Agreement to be entered into) will exceed 5 per cent. of the Maximum Investment Amount at such 

time; and 

(ii) the number of Securities Lending Counterparties (including the proposed Securities Lending 

Counterparty), when aggregated with the Hedge Counterparties, Synthetic Security Obligors and 

Selling Institutions will be more than 10. 

Such Securities Lending Counterparties may be Affiliates of Dresdner Bank AG London Branch and/or 

Affiliates of the Collateral Manager, which may create certain conflicts of interest. See “Risk Factors—Certain 

Conflicts of Interest”. 

Each Securities Lending Agreement shall be on market terms (except as may be required below) and shall: 

(a) require that the Securities Lending Counterparty return to the Issuer debt obligations which are 

identical (in terms of issue and class) to the loaned Collateral Debt Securities; 

(b) require that the Securities Lending Counterparty pay to the Issuer such amounts as are equivalent to all 

interest and other payments which the owner of the loaned Collateral Debt Security is entitled to for the 

period during which the Collateral Debt Security is loaned; 

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(c) be subject to Rating Agency Confirmation; 

(d) be governed by the laws of England; 

(e) permit the Issuer to assign its rights thereunder to the Trustee pursuant to the Trust Deed; 

(f) 

only be entered into if no event of default (howsoever described) shall have occurred under any of the 

Transaction Documents; 

(g) provide that the lending under the relevant Securities Lending Agreement will mature on or prior to the 

Maturity Date; 

(h) ensure that the Issuer has the right to require that the loaned Collateral Debt Securities shall be returned 

(at no cost to the Issuer) in the event that: 

(i) the loaned Collateral Debt Security is a Credit Risk Security or Defaulted Security; 

(ii) the loaned Collateral Debt Security is to be redeemed; and 

(iii) on or prior to any redemption of the Rated Notes; 

(i) 

(j) 

provide that the collateral posted under the Securities Lending Agreement shall be subject to such mark 

to market provisions as may be agreed with the Rating Agencies; and 

contain limited recourse and non-petition provisions in each case in substantially the same form as 

those set out in Condition 4(c) (Limited Recourse and Non-Petition). 

Each Securities Lending Counterparty shall be required to post with the Issuer, Securities Lending 

Collateral to secure its obligation to return the Collateral Debt Securities. Such collateral will be maintained at 

all times with the Account Bank in an amount equal to at least 102 per cent. of the current market value 

(determined daily by the related Securities Lending Counterparty in accordance with standard market practice) 

of the loaned securities. If cash collateral is received by the Issuer, it will be invested in accordance with the 

related Securities Lending Agreement. Such collateral will not constitute Collateral Debt Securities and will not 

be available to support payments on the Senior Notes and the other Rated Notes unless the related Securities 

Lending Counterparty defaults in its obligation to return the loaned Collateral Debt Securities to the Issuer (see 

“Risk Factors—Securities Lending”). The Collateral Manager on behalf of the Issuer will negotiate with the 

Securities Lending Counterparty a rate for the loan fee to be paid to the Issuer for lending the loaned Collateral 

Debt Securities. 

If any Rating Agency downgrades a Securities Lending Counterparty such that the Securities Lending 

Agreement(s) to which the Securities Lending Counterparty is a party are no longer in compliance with 

requirements relating to the credit ratings of the Securities Lending Counterparty, then the Issuer, or the 

Collateral Manager on its behalf, within ten days thereof, will terminate its Securities Lending Agreement(s) 

with such Securities Lending Counterparty. 

Upon the termination of a Securities Lending Agreement or upon the occurrence of an event of default 

thereunder by the relevant Securities Lending Counterparty, the Collateral Manager or the Securities Lending 

Agent (pursuant to the terms of the relevant Securities Lending Agreement), as applicable, shall direct the 

Custodian and the Custodian shall, transfer the Securities Lending Collateral received with respect to such 

Securities Lending Agreement, either: 

(A) if and to the extent required pursuant to the terms of such Securities Lending Agreement, to 

the Securities Lending Counterparty; or 

(B) otherwise in relation to funds standing to the credit of the Securities Lending Account, to the 

Principal Collection Account as Unscheduled Principal Proceeds. 

12. General Provisions Relating to the Actions of the Collateral Manager 

The Collateral Debt Securities have been and will be purchased by the Collateral Manager acting on behalf 

of the Issuer. The Collateral Manager either purchases Collateral Debt Securities in the secondary market on 

behalf of the Issuer from dealers unaffiliated with the Collateral Manager or from the Collateral Manager or 

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Affiliates of the Collateral Manager, or sells Collateral Debt Securities to the Issuer from its inventory or the 

inventories of its Affiliates. See “Risk Factors—Certain Conflicts of Interest” above. The Collateral Manager 

on behalf of the Issuer may not acquire loans, whether from the obligor or another party, in connection with the 

syndication or initial placement of such loans by an Affiliate of the Collateral Manager doing business within 

the United States. 

The Collateral Manager acting on behalf of the Issuer, may acquire interests in Collateral Debt Securities 

which are loans either directly (by way of novation, sale or assignment) (each a “Transfer”) or indirectly (by 

way of participation or sub-participation) (each a “Participation”). For a discussion of certain considerations 

relating to Transfers and Participations see “Risk Factors - Participations and Transfers” above. 

13. Rating Definitions 

“Fitch Rating” means, for any Collateral Debt Security or Eligible Investment: 

(a) if such Collateral Debt Security or Eligible Investment is rated by Fitch, as published in any publicly 

available news source, such rating; 

(b) if the rating cannot be assigned pursuant to (a) (above) and there is a publicly available rating for such 

Collateral Debt Security by Moody’s or S&P (but not both), the rating that corresponds to the Moody’s 

or S&P rating, as the case may be; 

(c) if the rating cannot be assigned pursuant to (a) or (b) (above) and there is a publicly available rating for 

such Collateral Debt Security by Moody’s and S&P, the rating that corresponds to the lower of the 

Moody’s or S&P rating; or 

(d) if the rating cannot be assigned pursuant to (a), (b) or (c) (above), the Issuer or the Collateral Manager, 

on behalf of the Issuer, shall apply to Fitch for a private rating which shall then be the Fitch Rating, 

provided that (x) if such Collateral Debt Security or Eligible Investment has been put on rating watch 

negative or negative credit watch for possible downgrade by any Rating Agency, then the rating used to 

determine the Fitch Rating above shall be one rating subcategory below such rating by that Rating Agency, and 

(y) if such Collateral Debt Security or Eligible Investment has been put on rating watch positive or positive 

credit watch for possible upgrade by any Rating Agency, then the rating used to determine the Fitch Rating 

above shall be one rating subcategory above such rating by that Rating Agency, and (z) notwithstanding the 

rating definition described above, Fitch reserves the right to issue a rating estimate for any Collateral Debt 

Security or Eligible Investment at any time. 

The “S&P Rating” of a Collateral Debt Security is determined as follows (and for the avoidance of doubt, 

a reference to S&P Rating includes a public or private rating or a credit estimate provided by S&P): 

(i) if such Collateral Debt Security is not a Synthetic Security: 

(A) if the issuer of such Collateral Debt Security, or a guarantor that unconditionally and 

irrevocably guarantees such Collateral Debt Security, is rated by S&P, then the S&P Rating 

for such issuer is the S&P issuer credit rating of such issuer or guarantor (whichever is 

highest); 

(B) if there is no S&P issuer credit rating for the issuer or an unconditional and irrevocable 

guarantor of such Collateral Debt Security but another security or obligation of the issuer or 

guarantor is rated by S&P and the S&P Rating is not determined pursuant to clause (C) or (D) 

below, then the S&P Rating of such Collateral Debt Security shall be determined as follows: 

(I) if there is a rating on a senior secured debt of the issuer or guarantor, then the S&P Rating 

shall be one subcategory below such rating, (II) if there is a rating on a senior unsecured 

security or obligation of the issuer or guarantor, then the S&P Rating shall be such rating and 

(III) if there is a rating on a subordinated security or obligation of the issuer or guarantor, then 

the S&P Rating shall be one subcategory above such rating if the rating of such subordinated 

debt is “BBB” or higher and two subcategories higher than the rating of the subordinated debt 

if such subordinated debt is rated “BB+” or lower; 

(C) if there is not a rating by S&P of the issuer or an obligation of such issuer or such guarantor 

and if such Collateral Debt Security is not rated by S&P and no other security or obligation of 

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the issuer or guarantor is rated by S&P, then the S&P Rating for such Collateral Debt Security 

may be determined using any one of the methods below: 

(1) if such Collateral Debt Security is publicly rated by Fitch, then the S&P Rating will be 

determined in accordance with the methodologies for establishing the Fitch Rating, 

except that the S&P Rating of such Collateral Debt Security will be (I) one subcategory 

below the S&P equivalent of the rating assigned by Fitch if such Collateral Debt Security 

is rated “BBB-” or higher by Fitch and (II) two subcategories below the S&P equivalent 

of the rating assigned by Fitch if such Collateral Debt Security is rated “BB+” or lower by 

Fitch; provided that the aggregate Principal Balance of Collateral Debt Securities that 

may be given a S&P Rating based on a rating given by Fitch as provided in this subclause 

(1) may not exceed 20 per cent. of the Maximum Investment Amount; 

(2) if such Collateral Debt Security is not rated by Fitch but a parallel security is publicly 

rated by Fitch, then the rating of such parallel security shall be determined in accordance 

with the methodology set forth in paragraph (C)(1) above, and the S&P Rating of such 

Collateral Debt Security shall be determined in accordance with the methodology set 

forth in paragraph (B) above (for such purpose, treating the parallel security as if it were 

rated by S&P at the rating determined pursuant to this paragraph (C)(2)); 

(3) if no other security or obligation of the issuer or guarantor is rated by S&P or Fitch, then 

the Issuer or the Collateral Manager on behalf of the Issuer may apply to S&P for a rating 

estimate, which shall be its then S&P Rating; provided that pending receipt from S&P of 

such estimate, such Collateral Debt Security shall have a S&P Rating of “B-” (if it is a 

Bank Loan) or “CCC” (in all other cases) for the purposes of determining S&P Rating if 

the Collateral Manager certifies to the Trustee that the Collateral Manager believes that 

such estimate will be at least “B-” or “CCC” (as applicable) and if the aggregate Principal 

Balance of Collateral Debt Securities having such S&P Rating solely by reason of this 

proviso does not exceed 5 per cent. of the Maximum Investment Amount and if there is a 

rating on a subordinated obligation of the issuer, then the S&P Rating shall be one 

subcategory above such rating if such Collateral Debt Security is a senior secured or 

senior unsecured obligation of the issuer; 

(4) if (1) neither the issuer nor any of its affiliates (except that, for this purpose, affiliation 

will not result from the common ownership by a common financial sponsor) is subject to 

reorganisation or bankruptcy proceedings and (2) no debt security or obligation of the 

issuer has been in default during the past two years, the S&P Rating of such Collateral 

Debt Security will be “CCC”; or 

(5) if a debt security or obligation of the issuer has been in default during the past two years, 

the S&P Rating of such Collateral Debt Security will be “D”; or 

(D) if none of clauses (A) through (C) above is applicable and the Collateral Manager, the 

Collateral Administrator and the Trustee shall have received the prior written confirmation of 

S&P that the acquisition of the related Collateral Debt Security will not cause its then current 

rating of the Senior Notes or the Class B Notes to be reduced or withdrawn, then the S&P 

Rating for such issuer will be deemed to be “CCC”; and 

(ii) with respect to a Collateral Debt Security that is a Synthetic Security, the S&P Rating of such 

Collateral Debt Security will be the S&P Rating assigned in connection with the acquisition by the 

Issuer of such Synthetic Security. 

Notwithstanding the foregoing, if the S&P rating or ratings used to determine the S&P Rating above are on 

watch for possible downgrade or upgrade by S&P, the S&P Rating will be determined by adjusting such S&P 

rating or ratings down one subcategory (if on watch for possible downgrade) or up one subcategory (if on watch 

for possible upgrade). 

In addition, the S&P Rating of a Collateral Debt Security which is a Synthetic Security or a Participation 

may have to be adjusted as set out in paragraph (c)(x) of the Eligibility Criteria in the event that a Synthetic 

Security Obligor or a Selling Institution is downgraded by S&P and such downgrade leads to the maximum 

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amount permitted from all Selling Institutions and Synthetic Security Obligors of a lower credit rating set out in 

the table of paragraph (c)(x) being exceeded. 

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DESCRIPTION OF THE COLLATERAL MANAGEMENT AGREEMENT 

The collateral management functions described herein will be performed by the Collateral Manager 

pursuant to authority granted to the Collateral Manager by the Issuer under the Collateral Management 

Agreement. Pursuant to the Collateral Management Agreement the Issuer has delegated authority to the 

Collateral Manager to carry out certain of its functions in relation to the Portfolio without the requirement for 

specific approval by the Issuer. 

Fees 

The Collateral Manager is, subject to the Priorities of Payment and the limited recourse and non-petition 

provisions of the Collateral Management Agreement (which are similar to Condition 4(c) (Limited Recourse and 

Non-Petition) under “Conditions of the Notes” above), paid as follows: 

(a) an up-front fee and any applicable VAT paid thereon on the Issue Date; 

(b) the Base Collateral Management Fee in arrear on each Payment Date; 

(c) the Subordinated Collateral Management Fee in arrear on each Payment Date; and 

(d) the Incentive Collateral Management Fee, in arrear on each Payment Date only if the Incentive 

Management Fee Hurdle Rate is achieved. 

Any Base Collateral Management Fee and/or Subordinated Collateral Management Fee not paid on the 

Payment Date on which it is due will be added to the Base Collateral Management Fee and/or Subordinated 

Collateral Management Fee, respectively, due on the next occurring Payment Date. In the event that the 

Collateral Manager is replaced as described below, the Replacement Collateral Manager will be paid the Base 

Collateral Management Fee and the Replacement Collateral Manager Subordinated Fee, instead of the fees 

described above, on each Payment Date in accordance with the Priorities of Payment. No up-front fee is 

anticipated to be paid to any Replacement Collateral Manager. 

Termination and Resignation 

At any time following the second anniversary of the Issue Date, the Collateral Manager may resign upon 90 

days’ written notice to the Issuer with a copy to the Trustee and the Rating Agencies. 

The Collateral Manager may be removed without cause (as set out in the Collateral Management 

Agreement) upon receiving not less than 60 days’ prior written notice from the Issuer or the Trustee acting upon 

an Extraordinary Resolution of each Class of Notes Outstanding (excluding all Notes held by the Collateral 

Manager or any of its Affiliates). In circumstances where the Collateral Manager is removed without cause 

then, for as long as Investec Principal Finance, a business unit division of Investec Bank (UK) Ltd. (“Investec”) 

or one of its Affiliates is the Collateral Manager being removed without cause, the Collateral Manager shall be 

entitled to the Collateral Manager Termination Amount. 

In addition, the Collateral Manager may at any time be removed for cause upon 10 days’ prior written 

notice by the Issuer or the Trustee acting upon an Extraordinary Resolution of the Controlling Class (excluding 

all Notes held by the Collateral Manager or any of its Affiliates). 

Neither the Collateral Manager nor any Affiliate of the Collateral Manager that holds Notes may vote in a 

decision regarding the removal of the Collateral Manager. 

For this purpose, “cause” will mean (a) the Collateral Manager wilfully breaches, or takes any action that it 

knows breaches, any provision of the Collateral Management Agreement or the Trust Deed; (b) the Collateral 

Manager breaches in any material respect any provision of the Collateral Management Agreement and fails to 

cure such breach within 30 days of receiving notice from the Issuer or the Trustee of such breach, provided that 

if such breach cannot be cured within 30 days, no cause will exist if such breach will not in the opinion of the 

Trustee have a material adverse effect on the Noteholders and the Collateral Manager is using all reasonable 

efforts to effect a cure and a cure can be effected without regard to a time period; (c) certain events of 

bankruptcy or insolvency occur with respect to the Collateral Manager; (d) the occurrence of an Issuer Event of 

Default that consists of a default in the payment of principal or interest on the Notes when due and payable or 

results from any breach by the Collateral Manager of its duties under the Collateral Management Agreement, 

which breach or default is not cured within any applicable cure period; (e) the Collateral Manager or any of its 

179

Key Persons being convicted for fraud or a criminal offence with respect to the performance of the Collateral 

Manager’s obligations under the Collateral Management Agreement or in the performance of its investment 

management services comparable to those performed under the Collateral Management Agreement; (f) the 

occurrence of an Issuer Event of Default pursuant to Condition 10(a)(iv) (Collateral Debt Securities); (g) for so 

long as Investec or one of its Affiliates is the Collateral Manager, the failure to replace the Key Persons in the 

manner specified in the Collateral Management Agreement (and more particularly described below in “Key 

Persons”); (h) the Collateral Manager is negligent in the performance of, or omissions to perform, its 

obligations under the Collateral Management Agreement and such negligence has a material adverse effect on 

the Noteholders which is not capable of remedy or if capable of remedy, is not remedied within 30 calendar 

days upon the Collateral Manager receiving notice from the Trustee or the Issuer to take the appropriate action; 

or (i) any licences, approvals, authorisations and consents which are necessary for the performance of the 

Collateral Manager’s obligations under the Collateral Management Agreement are not in place and the 

Collateral Manager has not obtained or renewed such licences, approvals, authorisations and consents within 30 

calendar days of becoming aware of the same not being in place and the failure to obtain or renew such licences, 

approvals, authorisations and consents prevents the Collateral Manager from performing its obligations under 

the Collateral Management Agreement. 

Except as set out below, the Collateral Management Agreement will automatically terminate if the Issuer 

determines in good faith that the Issuer or the Collateral has become required to be registered as an “investment 

company” under the Investment Company Act of the United States. In such circumstances the Issuer shall 

notify the Collateral Manager of such determination. For the avoidance of doubt, no Collateral Manager 

Termination Amount will be payable in such circumstances. 

No removal or resignation of the Collateral Manager while any Notes are Outstanding will be effective until 

the appointment by the Issuer of a successor Collateral Manager that is an established institution which is not an 

Affiliate of the Collateral Manager (A) who is able to demonstrate its ability to professionally and competently 

perform duties similar to those imposed upon the Collateral Manager under the Collateral Management 

Agreement and with a substantially similar (or better) level of expertise, (B) is qualified and has the capacity 

(including the Dutch regulatory capacity) to act as Collateral Manager under the Collateral Management 

Agreement, as successor to the Collateral Manager thereunder in the assumption of all of the responsibilities, 

duties and obligations of the Collateral Manager thereunder, (C) will not cause the Issuer or the Collateral to 

become required to register under the provisions of the Investment Company Act of the United States, (D) will 

perform its duties as Collateral Manager under the Collateral Management Agreement without causing the 

Issuer or any holder of the Notes to become subject to tax in any jurisdiction where such successor Collateral 

Manager is established or doing business, (E) Rating Agency Confirmation is obtained with respect to the 

appointment of such successor Collateral Manager and (F) who will not permit any individual physically present 

in the United States to exercise any discretion with respect to any of the services provided by it pursuant to the 

Collateral Management Agreement. 

Upon the receipt or giving by it of notice of the resignation or removal of the Collateral Manager, the 

Trustee on behalf of the Issuer acting on the instructions of an Extraordinary Resolution of the Controlling Class 

shall use its best efforts to appoint a successor collateral manager within 90 calendar days after the date of 

receipt or giving by it of the notice of resignation or removal of the Collateral Manager; provided that any such 

successor collateral manager is approved by an Extraordinary Resolution of the Class N Noteholders (excluding 

all Notes held by the Collateral Manager or any of its Affiliates) and provided further that if upon expiry of 90 

calendar days of the date of such receipt or giving of such notice, the Trustee on behalf of the Issuer on the 

instructions of an Extraordinary Resolution of the Controlling Class has not appointed a successor to the 

Collateral Manager, the Collateral Manager may itself appoint a successor collateral manager, subject to the 

terms and conditions set out above. 

Save as aforesaid, the Collateral Manager is not permitted to assign or transfer any of its rights, obligations 

or duties under the Collateral Management Agreement without the consent of the Issuer and the holders of a 

majority in aggregate principal amount outstanding of the Controlling Class; provided, however, that the 

Collateral Management Agreement may be assigned to another Affiliate of the Collateral Manager having 

personnel with comparable expertise and experience as that of the Collateral Manager and capable of 

performing (and having the regulatory capacity as a matter of Dutch law to perform) the obligations of the 

Collateral Manager thereunder with Rating Agency Confirmation. Pursuant to the Collateral Management 

Agreement, the Collateral Manager may delegate its duties to any entity but no such delegation shall relieve the 

Collateral Manager from any of its duties or obligations thereunder. 

The Collateral Manager may take advice from such persons as it sees fit in the performance of its duties. 

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Upon (i) the Collateral Manager receiving a notice terminating its appointment or (ii) the Collateral 

Manager giving notice of its resignation and prior to a successor collateral manager being appointed by the 

Issuer, the Collateral Manager shall not sell any Collateral Debt Securities in the Portfolio other than Credit Risk 

Securities, Defaulted Securities or Defaulted Equity Securities and shall not acquire any Collateral Debt 

Securities on behalf of the Issuer. 

The Trustee is entitled to exercise the rights and remedies of the Issuer under the Collateral Management 

Agreement (a) upon the occurrence of an Issuer Event of Default until such time, if any, as such Issuer Event of 

Default is cured or waived, (b) upon the occurrence of an event specified in the Collateral Management 

Agreement pursuant to which the Issuer is entitled to remove the Collateral Manager for “cause” or (c) upon a 

material default in the performance, or a material breach, of any covenant, representation, warranty or other 

agreement of the Collateral Manager under the Collateral Management Agreement or in any certificate or 

written notice delivered pursuant thereto if (i) so requested in writing by the holders of at least 25 per cent. in 

aggregate principal amount of the Notes Outstanding of the Controlling Class and (ii) such default or breach (if 

remediable) continues for a period of 30 days after notice has been given to the Collateral Manager by the 

Trustee of such default or breach. 

In certain circumstances, the interests of the Issuer and/or the holders of the Notes with respect to matters as 

to which the Collateral Manager is acting as collateral manager to the Issuer may conflict with the interests of 

the Collateral Manager or its Affiliates. See “Risk Factors—Certain Conflicts of Interest” above. 

Key Persons 

For so long as Investec or one of its Affiliates is the Collateral Manager, in the event that three out of four 

of the Key Persons cease to be employed by the Collateral Manager or any of its Affiliates, the Collateral 

Manager must within 90 days following the occurrence of such event, hire a suitably qualified professional with 

the comparable experience of the relevant Key Persons. The failure by the Collateral Manager to find a 

replacement for the Key Persons who are no longer in the employment of the Collateral Manager or any of its 

Affiliates after the 90 day period will constitute “cause” for which the Collateral Manager may be removed. 

“Key Persons” means Andy Clapham, Henrik Malmer, Jeff Boswell and David Beadle and any replacement for 

each of them from time to time and “Key Person” means each or any of them (including any replacement). 

Holding of Class N Notes 









181

Liquidity Facility Agreement 

DESCRIPTION OF THE LIQUIDITY FACILITY AGREEMENT 

The Issuer, the Trustee, the Collateral Manager, the Collateral Administrator and Dresdner Bank AG 

London Branch in its capacity as a liquidity facility provider (the “Liquidity Facility Provider”) entered into a 

liquidity facility agreement (the “Liquidity Facility Agreement”) dated on or about the Issue Date. 

Purpose 

For the period from (and including) the Issue Date until (and excluding) the date which falls 365 days after 

the Issue Date and, subject to extension in accordance with the terms of the Liquidity Facility Agreement, each 

subsequent period of 365 days (the “Commitment Period”), the Issuer, subject to satisfaction of certain 

conditions and, provided that the Senior Overcollateralisation Ratio is at least 100 per cent. on the 

Determination Date prior to the relevant drawdown date, no later than two Business Days prior to a Payment 

Date will be entitled to draw under the Liquidity Facility Agreement an amount (the “Liquidity Limit”) equal 

to the lesser of (a) the undrawn amount of the Liquidity Facility; (b) the Accrued Euro Collateral Interest 

Amount with respect to drawings denominated in Euro and the Accrued Sterling Collateral Interest with respect 

to drawings denominated in Sterling; and (c) such lesser amount as determined by the Collateral Manager on 

behalf of the Issuer. The undrawn amount of the Liquidity Facility is calculated by deducting all amounts drawn 

from the Liquidity Limit. Such drawn amount shall be used to make such payments in accordance with the 

Priorities of Payment to meet any shortfalls in respect of Euro Interest Proceeds or, as the case may be, Sterling 

Interest Proceeds on any Payment Date. The maximum commitment under the Liquidity Facility Agreement is 

€6,800,000 or its Sterling equivalent (converted from Euro using the Issue Date Spot Rate). Notwithstanding 

the fact that no further drawings may be made under the Liquidity Facility Agreement after the expiry of the 

Commitment Period, it is possible that drawings could remain outstanding until the Maturity Date or a 

Redemption Date, if earlier. The commitment under the Liquidity Facility Agreement will be cancelled in full 

by the Issuer on the earlier of (i) the last day of the Commitment Period (unless otherwise extended pursuant to 

the terms of the Liquidity Facility Agreement) and (ii) the date on which the Class A Notes are redeemed in full. 

The minimum drawdown under the Liquidity Facility will be €50,000 or its equivalent in Sterling at the Issue 

Date Spot Rate. 

Covenants and Obligations 

The Facility 

Under the terms of the Liquidity Facility Agreement, the Liquidity Facility Provider has agreed to provide 

the credit facility (the “Liquidity Facility”) for the purpose stated above. 

Interest and Commitment Fee 

The rate of interest on each drawing under the Liquidity Facility is equal to the aggregate of 0.30 per cent. 

per annum and EURIBOR (with respect to a drawing denominated in Euro) or LIBOR (with respect to a 

drawing denominated in Sterling). The rate of interest on the stand-by liquidity drawing referred to below is 

equal to the aggregate of the rate of interest earned on the Stand-by Liquidity Account (including the amounts 

earned on any Eligible Investments expressed as a percentage) and 0.15 per cent. per annum. 

In addition, the Issuer shall pay to the Liquidity Facility Provider a commitment fee computed at the rate of 

0.15 per cent. per annum on the undrawn, uncancelled amount of the Liquidity Limit during the period from the 

Issue Date up to and including the last day of the Commitment Period which shall be payable semi-annually on 

each Payment Date. 

Repayments 

Each advance under the Liquidity Facility together with interest thereon must be repaid on the second 

Payment Date following the relevant drawdown date. In addition, the Issuer may at its discretion repay some or 

all of the principal amount of any advance drawn under the Liquidity Facility together with interest thereon at 

any time other than a Payment Date out of funds standing to the credit of the relevant Liquidity Payment 

Account (as described below) save that where such payment is made otherwise than on the expiry of any 

designated interest period, breakage costs may be payable. The Issuer shall be required to repay all amounts due 

and owing to the Liquidity Facility Provider (including the outstanding principal amount of any liquidity 

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drawing and accrued interest thereon) under the Liquidity Facility Agreement in the currency in which it is 

denominated on each Payment Date. 

Liquidity Payment Accounts 

The Issuer has further agreed to credit the relevant Liquidity Payment Account held at the Account Bank 

with amounts which represent Euro Interest Proceeds or, as the case may be, Sterling Interest Proceeds 

attributable to amounts funded pursuant to the Liquidity Facility received by the Issuer from the Euro Collateral 

Debt Securities or the Sterling Collateral Debt Securities in the Portfolio as and when such amounts are received 

by it pending repayment by the Issuer of interest and principal of any advance drawn under the Liquidity 

Facility (but only up to a maximum amount equal to the advance then outstanding and accrued interest 

thereunder and, where applicable, breakage costs incurred in respect of such advance as calculated by the 

Liquidity Facility Provider under the Liquidity Facility Agreement). Subject to certain conditions, the Issuer 

shall procure that on any date (other than a Payment Date) on which it elects to make a payment in respect of the 

advance outstanding and the accrued interest thereon, an amount up to the balance standing to the credit of the 

relevant Liquidity Payment Account be withdrawn and paid directly to the Liquidity Facility Provider. 

Termination 

The Liquidity Facility Agreement may only be terminated by the Liquidity Facility Provider if (i) the Issuer 

fails to pay any amount due thereunder on its due date, provided that where any non-payment is a result of a 

technical problem, such failure continues for a period of 3 Business Days of its due date; (ii) an Enforcement 

Notice is delivered to the Issuer and remains in effect; (iii) if it becomes unlawful for the Issuer to perform any 

of its obligations under the Liquidity Facility Agreement; or (iv) the Issuer becomes subject to insolvency 

proceedings. 

Stand-by Liquidity Account 

The Liquidity Facility Provider is required to have a short term senior unsecured debt rating of at least “F1” 

by Fitch and “A-1” by S&P. The Liquidity Facility Agreement provides that if at any time the ratings of the 

Liquidity Facility Provider falls below a short term senior unsecured debt rating of at least “F1” by Fitch or 

“A-1” by S&P, the Issuer shall require the Liquidity Facility Provider, within 30 calendar days thereof (during 

which period the Liquidity Facility Provider will be deemed to be in compliance with the ratings described 

above), either to (i) find a replacement liquidity facility provider meeting the Rating Requirement who will enter 

into a liquidity facility agreement with the Issuer on substantially the same terms as the Liquidity Facility 

Agreement; or (ii) find a guarantor meeting the Rating Requirement to guarantee the obligations of the Liquidity 

Facility Provider pursuant to the Liquidity Facility Agreement; or (iii) pay into a designated account of the 

Issuer (the “Stand-by Liquidity Account”) held with the Account Bank an amount equal to the difference 

between the aggregate amount then outstanding under the Liquidity Facility Agreement and the Liquidity Limit. 

The Liquidity Facility Provider will also be required to make such a payment to the Stand-by Liquidity Account 

where the Liquidity Facility Provider does not agree to extend the Commitment Period at the expiry of the then 

current Commitment Period (a “Non-Extension Drawing”). The Collateral Administrator shall on behalf of the 

Issuer invest the amounts not required to be utilised in the Stand-by Liquidity Account from time to time in 

Eligible Investments if directed to do so by the Liquidity Facility Provider in accordance with the provisions of 

the Liquidity Facility Agreement. 

The Issuer may only withdraw amounts standing to the credit of the Stand-by Liquidity Account for the 

same purpose as such amount would have been available for drawing under the Liquidity Facility Agreement 

and any amount withdrawn shall be repaid to the Stand-by Liquidity Account (in whole or in part) in accordance 

with the provisions relating to other drawings under the Liquidity Facility Agreement. Where a drawing under 

the Liquidity Facility Agreement is required to be made in Sterling, the Issuer shall withdraw a sufficient 

amount of Euro from the Stand-by Liquidity Account for such drawing and shall enter into a forward agreement 

with a Hedge Counterparty to acquire the same amount of Euro withdrawn from the Stand-by Liquidity Account 

on the Payment Date following the next Payment Date. The euro amounts received by the Issuer pursuant to the 

forward agreement shall be deposited into the Stand-by Liquidity Account on the relevant Payment Date. 

Instead of drawing the undrawn commitment in Euro, the Issuer may choose to withdraw the undrawn 

commitment of the Liquidity Facility in Euro and Sterling and if the Issuer so chooses, it shall ensure that the 

Stand-by Liquidity Account denominated in Sterling is opened with the Account Bank and the Sterling amounts 

are deposited in the Stand-by Liquidity Account denominated in Sterling. The amount which can be drawn in 

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Sterling by the Issuer shall not exceed a maximum amount of €2,500,000 converted into Sterling at the Issue 

Date Spot Rate. 

Amounts standing to the credit of the Stand-by Liquidity Account shall be repayable to the Liquidity 

Facility Provider in the event, inter alia, (i) other than in the case of a Non-Extension Drawing, if applicable, the 

existing Liquidity Facility Provider’s rating satisfies the Rating Requirement; (ii) the Issuer cancels the 

Liquidity Facility; (iii) the Issuer replaces the existing Liquidity Facility Provider, subject to the approval of the 

Trustee, with a liquidity facility provider who meets with the Rating Requirement and enters into an agreement 

with the Issuer and the Trustee substantially on the same terms as the Liquidity Facility Agreement or (iv) the 

earlier to occur of (A) the final redemption of the Class A Notes and (B) the occurrence of an Issuer Event of 

Default or a default by the Issuer under the Liquidity Facility Agreement. 

Miscellaneous 

The Liquidity Facility Agreement includes provisions for payments in respect of increased costs and 

indemnities (including without limitation for tax indemnities) and other provisions dealing in the matters 

commonly dealt with in revolving loan facilities in the United Kingdom. 

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DESCRIPTION OF THE REPORTS 

Monthly Reports 

The Collateral Administrator shall not later than the fifteenth Business Day after the 20 th day of the month 

or if such day is not a Business Day, the next succeeding Business Day, commencing in January 2008, on behalf 

of the Issuer, compile and provide to the Trustee, the Collateral Manager, the Issuer and the Rating Agencies 

and, upon written request therefor in accordance with Condition 4(d) (Information Regarding the Portfolio) 

certifying that it is a holder of a beneficial interest in any Note, to such holder, a monthly report (the “Monthly 

Report”), which shall contain the following information with respect to the Collateral Debt Securities, 

determined by the Collateral Administrator as of the 20 th day of the month or if such day is not a Business Day, 

the next succeeding Business Day: 

Portfolio 

(a) the aggregate of the Principal Balances of, respectively, the Collateral Debt Securities and Collateral 

Enhancement Securities, the annual interest rate, Stated Maturity, obligor under, industry and Fitch 

Recovery Rate and S&P recovery rate and Fitch Rating and S&P Rating (if applicable) (but not any 

confidential credit estimate) of, each Collateral Debt Security and Collateral Enhancement Security 

(including identifying which of the Collateral Debt Securities or Collateral Enhancement Securities (if 

any) have been downgraded or upgraded by either of the Rating Agencies since the date of the last 

Monthly Report) unless prevented from doing so in relation to non-public ratings that cannot be 

disclosed as agreed to under the terms of receiving such ratings; 

(b) the identity of, respectively, any Collateral Debt Securities and Collateral Enhancement Securities that 

were released for sale or other disposition (excluding those released pursuant to any Securities Lending 

Agreement) (and the nature of any such sale or disposition, for example, whether it was the sale of a 

Credit Risk Security, a Credit Improved Security or a discretionary sale) or that were acquired since the 

date of determination of the last Monthly Report; 

(c) the purchase or sale price of each Collateral Debt Security and Collateral Enhancement Securities 

acquired and/or sold since the date of determination of the last Monthly Report and the identity of the 

purchasers or sellers thereof, if any, that are Affiliated with the Collateral Manager; 

(d) subject to any confidentiality obligations binding on the Issuer, the identity of each Collateral Debt 

Security which became a Defaulted Security or in respect of which a Defaulted Equity Security has 

been received since the date of determination of the last Monthly Report; 

Accounts 

(a) the amount of any proceeds standing to the credit of the Interest Collection Account, the Principal 

Collection Account, the Sterling Interest Account and the Sterling Principal Account; 

(b) the amount of any funds standing to the credit of the Initial Proceeds Account, the Collateral 

Enhancement Account, the Additional Collateral Account, the Sterling Additional Collateral Account, 

the Euro Principal Reserve Account, the Euro Payment Account, the Sterling Payment Account, the 

Liquidity Payment Accounts, the Stand-by Liquidity Account, the Securities Lending Account, the 

Euro Expense Account, the Sterling Expense Account, the Custody Account and any other accounts 

(including any Stand-by Account) of the Issuer as may be established from time to time; 

Hedge Transactions 

(a) the outstanding notional amount of each Hedge Transaction and the current rates of interest (if an 

interest hedge transaction) or the current rates of exchange (if a currency hedge transaction or Asset 

Swap Transaction); 

(b) the amount scheduled to be received and paid by the Issuer pursuant to each Hedge Transaction on the 

next Payment Date; 

(c) the amount received and paid by the Issuer pursuant to each Hedge Transaction since the date of the 

last Monthly Report; 

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Coverage Tests, Reinvestment OC Test and Collateral Quality Tests 

(a) the Senior Overcollateralisation Ratio, Class B Overcollateralisation Ratio, Class C 

Overcollateralisation Ratio, Class D Overcollateralisation Ratio, Class E Overcollateralisation Ratio, 

Reinvestment OC Ratio and a statement as to whether each of such tests is satisfied; 

(b) the Senior Interest Coverage Ratio and a statement as to whether such test is satisfied; 

(c) a statement as to whether the Maximum Weighted Average Fitch Rating Factor Test is satisfied; 

(d) the Fitch Weighted Average Recovery Rate and a statement as to whether the Minimum Fitch 

Weighted Average Recovery Rate Test is satisfied; 

(e) the Weighted Average Life and a statement as to whether the Weighted Average Life Test is satisfied; 

(f) 

the Weighted Average Spread and a statement as to whether the Minimum Weighted Average Spread 

Test is satisfied; 

(g) the S&P Minimum Average Recovery Rate and a statement as to whether the S&P Minimum Weighted 

Average Recovery Rate Test is satisfied; 

(h) a statement as to whether the CDO Evaluator Test is satisfied; 

together with all underlying information used to calculate each of the above; 

Eligibility Criteria 

(a) the aggregate Principal Balance consisting of Bank Loans, cash and Eligible Investments; 

(b) the aggregate Principal Balance (in Euro or its equivalent in Sterling using the Issue Date Spot Rate): 

(i) which consists of Mezzanine Loans, Second Lien Loans, CLO Securities and Special Debt 

Securities; 

(ii) which consists of CLO Securities; 

(iii) which consists of Special Debt Securities; 

(iv) which consists of Synthetic Securities and identifying those Synthetic Securities entered into for 

the sole purpose of producing payments denominated in Euro in respect of non-Euro denominated 

securities or shortening the maturity of the Reference Obligation and, in respect of any such 

Synthetic Security, identifying the rating of the counterparty of any associated put or other 

acceptable instrument; 

(v) which consists of Participations and identifying those Participations which are Secured 

Participations; 

(vi) which have a rating of “CCC+” or less; 

(vii) which consists of Collateral Debt Securities consisting of obligations in respect of which an 

Obligor is incorporated or established under the laws of the United States of America or any state 

thereof; 

(viii) which provide for payment of interest in cash less frequently than quarterly and more frequently 

than semi-annually; 

(ix) which consists of obligations with a Stated Maturity which falls later than the Maturity Date of 

each Class of Notes; 

(x) which consists of Collateral Debt Securities in respect of which the holder has the right to acquire 

an equity interest in the obligor (including by means of converting any part of the debt obligation 

into equity); 

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(xi) which consists of Collateral Debt Securities which are loaned pursuant to any Securities Lending 

Agreement; 

(xii) which consists of Participations with Selling Institutions rated less than “A-1+” by S&P; 

(xiii) which consists of Synthetic Securities with Synthetic Securities Obligors rated less than “A-1+” by 

S&P; 

(xiv) which consists of Collateral Debt Securities which are loaned pursuant to any Securities Lending 

Agreement with Securities Lending Counterparties rated less than “A-1+” by S&P; 

(xv) which consists of Collateral Debt Securities of obligors that are incorporated or established under 

the laws of any countries rated less than “A-1+” by S&P; 

(xvi) which consists of Long Dated Securities; 

(xvii) which consists of PIK Securities; 

(xviii) which consists of Collateral Debt Securities with a Fitch Rating determined by reference to a S&P 

Rating; 

(xix) which consists of Discount Collateral Debt Securities; 

(xx) which consists of obligors incorporated or established under the laws of each country in the 

Portfolio; 

(xxi) which consists of Defaulted Securities; and 

(xxii) which consists of Sterling Collateral Debt Securities; 

(c) the aggregate principal amount of (i) Bank Loans of any single obligor; and (ii) of Mezzanine Loans, 

Second Lien Loans and CLO Securities of any single obligor; 

(d) the aggregate principal amount of Collateral Debt Securities with the same S&P industry group; 

Interest 

(a) the estimated interest payment for the Class N Notes on the next Payment Date based on projected 

scheduled interest payments on the Collateral Debt Securities included in the Portfolio, less projected 

estimated amounts payable pursuant to Condition 3(c)(i)(A) to (HH) (inclusive) and Condition 

3(c)(iii)(A) to (Y) (inclusive) (other than payments on the Class N Notes) on such Payment Date; 

(b) the Interest Amount payable in respect of the Senior Notes, the Class B Notes, the Class C Notes, the 

Class D Notes and the Class E Notes on the next Payment Date; 

(c) Applicable EURIBOR for the related Due Period and the Class A1A Euro Rate of Interest, the Class 

A1A Sterling Rate of Interest, the Class A1B Note Interest Rate, the Class A2 Note Interest Rate, the 

Class B Note Interest Rate, the Class C Note Interest Rate, the Class D Note Interest Rate and the Class 

E Note Interest Rate. 

Noteholder Valuation Report 

The Collateral Administrator, on behalf of the Issuer, shall render a report (the “Noteholder Valuation 

Report”), prepared and determined as of each Determination Date, and delivered to the Collateral Manager, the 

Issuer, the Trustee, any Noteholder (upon written request therefor in accordance with Condition 4(d) 

(Information Regarding the Portfolio) certifying that it is a Noteholder) and the Rating Agencies not later than 

the tenth Business Day following the related Payment Date. Upon preparation of each Noteholder Valuation 

Report, the Collateral Administrator, in the name and at the expense of the Issuer, shall notify the Irish Stock 

Exchange of the aggregate principal amount of the Notes of each Class Outstanding after giving effect to the 

principal payments, if any, on the next Payment Date. The Noteholder Valuation Report shall contain the 

following information: 

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Portfolio 

(a) the information required under “Monthly Reports” above other than the information under the heading 

“Accounts”; 

Notes 

(a) the aggregate principal amount of the Notes of each Class Outstanding and such aggregate amount as a 

percentage of the original aggregate amount of the Notes of such Class Outstanding at the beginning of 

the Due Period, the amount of principal payments to be made on the Notes of each Class on the next 

Payment Date, and the aggregate amount of the Notes of each Class Outstanding and such aggregate 

amount as a percentage of the original aggregate amount of the Notes of such Class Outstanding after 

giving effect to the principal payments, if any, on the next Payment Date; 

(b) the interest payable in respect of each Class of Notes on the related Payment Date (in the aggregate and 

by Class); 

Payment Date Payments 

(a) the amounts payable pursuant to Condition 3(c)(i) (Application of Interest Proceeds on Payment 

Dates), Condition 3(c)(iii) (Application of Principal Proceeds on Payment Dates) of the Conditions of 

the Notes on the related Payment Date; 

(b) the amounts that have been paid since the previous Payment Date pursuant to Conditions 3(c)(ii) 

(Application of Interest Proceeds between Payment Dates) and Condition 3(c)(iv) (Application of 

Principal Proceeds between Payment Dates); 

(c) the Trustee Fees, Capital Commitment Registrar Fees, and Administrative Expenses payable on the 

related Payment Date on an itemised basis; 

(d) any scheduled amounts payable by any Hedge Counterparty on or immediately prior to related Payment 

Date; 

Accounts 

(a) the amount standing to the credit of the Principal Collection Account, Interest Collection Account, 

Euro Principal Reserve Account, Sterling Interest Account and Sterling Principal Account at the end of 

the related Due Period; 

(b) the amount standing to the credit of the Principal Collection Account, Interest Collection Account, 

Euro Principal Reserve Account, Sterling Interest Account and Sterling Principal Account immediately 

after all payments and deposits to be made on the next Payment Date; 

(c) the amount standing to the credit of the Collateral Enhancement Account, the Liquidity Payment 

Accounts, the Stand-by Liquidity Account and the Securities Lending Account at the end of the related 

Due Period; 

(d) the amount standing to the credit of the Additional Collateral Account, Sterling Additional Collateral 

Account, Initial Proceeds Account, Euro Expense Account and Sterling Expense Account, the Custody 

Account and any other accounts (including the Stand-by Account) established by the Issuer from time 

to time at the end of the related Due Period. 

The Monthly Report and the Noteholder Valuation Report shall state that it is for informational purposes 

only, that certain information included in the report is estimated, approximated or projected and that the report is 

provided without any representations or warranties as to accuracy or completeness and that none of the 

Collateral Manager, the Issuer, the Trustee or the Collateral Administrator will have any liability for such 

estimates, approximations or projections. 

For so long as any of the Notes are Outstanding and admitted to the Official List and trading on the Irish 

Stock Exchange’s regulated market, the Issuer shall post an announcement at the Companies Announcement 

Office of the Irish Stock Exchange that the Reports are available for inspection at the registered office of the 

Issuer. 

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DESCRIPTION OF THE HEDGE ARRANGEMENTS 

The following is a summary of the principal terms of the hedging arrangements entered into by the Issuer 

on the Issue Date. The following is a summary only and should not be relied upon as an exhaustive description 

of the detailed provisions of such documents (copies of which are available from the specified offices of the 

Irish Listing Agent and any Transfer Agent). 

Hedge Agreements 

On or about the Issue Date, the Issuer entered into Sterling call options (the “Initial Hedge Agreement” 

and together with any subsequent hedge agreements being a “Hedge Agreement”)) with the Initial Hedge 

Counterparty. Subsequent hedging transactions may be entered into with any other person (each, including the 

Initial Hedge Counterparty, a “Hedge Counterparty”), provided that any Hedge Counterparty has the 

regulatory capacity to enter into derivatives transactions with Dutch residents. Each Hedge Counterparty (a 

guarantor of its obligations) will have to have a short term debt rating of “F1” by Fitch and “A-1+” by S&P and 

a long term debt rating of “A+” by Fitch. 

The Initial Hedge Agreement is documented under a 1992 Master Agreement (Multicurrency—Cross 

Border) in the form published by the International Swaps and Derivatives Association, Inc. (“ISDA”). 

Transactions entered into under a Hedge Agreement are documented in confirmations to such Hedge 

Agreement. Each transaction will be evidenced by a confirmation entered into pursuant to a Hedge Agreement 

(each a “Hedge Transactions”). 

The Initial Hedge Agreement is governed by English law. 

Initial Hedge Transactions 

On the Issue Date, the Issuer acquired Sterling call options. The Issuer may from time to time enter into 

interest rate or currency swap transactions, in each case subject to the Issuer having obtained prior Rating 

Agency Confirmation unless such transactions are Form-Approved Hedges. 

Upon the exercise by the Collateral Manager of all or part of the Sterling call options as set out in the 

Collateral Management Agreement, the Collateral Manager shall use the Sterling amounts received, either (a) to 

repay Sterling Drawings as set out in the Class A1A Note Purchase Agreement; or (b) as part of the Sterling 

Interest Proceeds or Sterling Principal Proceeds to be applied in accordance with the Priorities of Payment on a 

Payment Date. 

Asset Swap Transactions 

The Issuer may enter into Asset Swap Transactions to hedge payments to be received pursuant to Non-Euro 

Collateral Debt Security and the Issuer shall be required to obtain Rating Agency Confirmation with respect to 

each new Asset Swap Transaction unless such Asset Swap Transaction is a Form-Approved Hedge. 

Standard Terms of Hedge Agreements 

Each Hedge Agreement shall contain the standard terms required by the Rating Agencies for the type of 

transaction described in this Prospectus including limited recourse and non-petition language and provisions in 

the event of a downgrade of the Hedge Counterparties. Each new Hedge Agreement shall, unless it is a Form- 

Approved Hedge, be the subject of Rating Agency Confirmation at the time it is entered into by the Issuer. 

189

DESCRIPTION OF THE CLASS A1A NOTE PURCHASE AGREEMENT 

The following is a summary of the principal terms of the Class A1A Note Purchase Agreement entered into 

by the Issuer on the Issue Date, which should not be relied upon as an exhaustive description of the detailed 

provisions of such document (copies of which are available from the specified offices of the Irish Listing Agent 

and any Transfer Agent). 

Purpose 

The Note Purchase Facility shall be used only for funding the purchase by the Collateral Manager on behalf 

of the Issuer of Collateral Debt Securities during the Ramp-Up Period and the Reinvestment Period in 

accordance with the Class A1A Note Purchase Agreement. 

Euro Drawings shall be used to purchase Euro Collateral Debt Securities or Non-Euro Collateral Debt 

Securities which are the subject of an Asset Swap Transaction and Sterling Drawings shall be used to purchase 

Sterling Collateral Debt Securities during the Ramp-Up Period and the Reinvestment Period. 

Initial available commitment 

The maximum aggregate principal amount of the Note Purchase Facility is €75,000,000 or its Sterling 

equivalent converted at the Issue Date Spot Rate in the case of any amounts drawn in Sterling (the “Note 

Purchase Facility”). Any Euro Drawing made under the Class A1A Note Purchase Agreement shall reduce the 

sum of the Undrawn Amount which is thereafter available to be drawn down (X) in Euro by an amount equal to 

such Euro Drawing and (Y) in Sterling by the Sterling equivalent of such Euro Drawing calculated using the 

Issue Date Spot Rate, without double counting. Any Sterling Drawing made under the Class A1A Note Purchase 

Agreement shall reduce the sum of the Undrawn Amount which is thereafter available to be drawn down (X) in 

Sterling by an amount equal to such Sterling Drawing and (Y) in Euro by the Euro equivalent of such Sterling 

Drawing calculated using the Issue Date Spot Rate, without double counting. 

Interest payments 

Interest in respect of a Drawing under the Class A1A Notes and a Class A1A Notes Interest Period shall be 

calculated by the Principal Paying Agent applying (i)(a) in the case of a Euro Drawing, the relevant Class A1A 

Euro Rate of Interest to an amount equal to such Euro Drawing on the relevant Payment Date, or, as the case 

may be, the date such Drawing is repaid and (b) in the case of a Sterling Drawing, the relevant Class A1A 

Sterling Rate of Interest to an amount equal to such Sterling Drawing on the relevant Payment Date, or as the 

case may be, the date such Drawing is repaid and (ii) the applicable Class A1A Day Count Fraction (the 

aggregate of each such amount in respect of each Drawing and a Class A1A Notes Interest Period, the “Class 

A1A Interest Amount”) and the Principal Paying Agent shall also calculate the Class A1A Aggregate Interest 

Amount. 

The rate of interest payable on a Euro Drawing for each Class A1A Notes Interest Period (the “Class A1A 

Euro Rate of Interest”) shall be the rate determined by the Principal Paying Agent to be the aggregate of (a) 

0.30 per cent. per annum (the “Class A1A Margin”); and (b) Class A1A EURIBOR. The rate of interest 

payable on a Sterling Drawing for each Class A1A Notes Interest Period (the “Class A1A Sterling Rate of 

Interest”) shall be the rate determined by the Principal Paying Agent to be the aggregate of the Class A1A 

Margin and Class A1A LIBOR. 

If the Issuer fails to pay any amount in accordance with the Class A1A Note Purchase Agreement, other 

than to the extent limited by the Trust Deed and the Priorities of Payment, the Issuer shall pay a default interest 

amount of one per cent. per annum over and above the rates set out above. 

If at any time during a Class A1A Notes Interest Period, the Senior Notes are not rated at least “AA” by 

Fitch and “AA” by S&P, respectively, an additional rate of 0.15 per cent. per annum (the “Class A1A 

Increased Margin”) will be added to the Class A1A Euro Rate of Interest and the Class A1A Sterling Rate of 

Interest. 

Principal payments 

(a) Subject to the provisions of the Class A1A Note Purchase Agreement and the Conditions, the Issuer 

shall repay the amount of Total Outstandings using Euro Principal Proceeds, Sterling Principal 

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Proceeds, Euro Interest Proceeds and Sterling Interest Proceeds as the case may be, on the Repayment 

Date. 

(b) The Issuer shall repay Drawings out of Euro Principal Proceeds, Sterling Principal Proceeds, Euro 

Interest Proceeds and Sterling Interest Proceeds as the case may be, in accordance with the Priorities of 

Payment. 

(c) If any Class A1B Refinancing Notes are issued, the Issuer shall repay Drawings on the date of the 

issuance of such Class A1B Refinancing Notes, subject to the Priorities of Payment, in an amount 

equal to the lesser of (1) the Total Outstandings and (2) the net proceeds of issue of such Class A1B 

Refinancing Notes. 

(d) Upon the occurrence of a Sterling Funding Mismatch the Issuer shall repay Sterling Drawings on the 

relevant Payment Date in an amount equal to such Sterling Funding Mismatch, in accordance with the 

Priorities of Payment and the Collateral Management Agreement. 

(e) The Issuer may, on any Business Day prepay a Drawing in whole or in part together with any Break 

Costs and the Class A1A Interest Amount, provided that (i) each prepayment of Euro Drawings shall 

be in Euro and each prepayment of Sterling Drawings shall be in Sterling, and (ii) it has given the 

Capital Commitment Registrar, the Class A1A Noteholders and the Trustee not less than 3 Business 

Days’ written notice, identifying and stating the amount (which shall be a minimum amount of 

€1,000,000 or £500,000 as applicable or such higher amount as the Collateral Manager may designate 

or such other lower amounts as may be agreed from time to time by the Collateral Manager on behalf 

of the Issuer and the Class A1A Noteholders) of the Drawing to be prepaid and the date of such 

prepayment. 

Commitment Fees 

The Issuer shall pay a commitment fee in Euro in respect of each Interest Accrual Period which: 

(a) shall be calculated on the basis of actual days elapsed in such Interest Accrual Period and a 360 day 

year at the rate of 0.15 per cent. per annum of the daily weighted average amount in such Interest 

Accrual Period of the Undrawn Amount; and 

(b) shall be paid to the Capital Commitment Registrar for the account of the Class A1A Noteholders, in 

respect of each Interest Accrual Period, on the Payment Date immediately following the end of such 

Interest Accrual Period in accordance with the Priorities of Payment. 

Termination 

The Class A1A Noteholder’s obligation to fund Drawings under the Class A1A Note Purchase Agreement 

will cease in accordance with the provisions of the Class A1A Note Purchase Agreement including without 

limitation on the earliest to occur of (a) the end of the Reinvestment Period; (b) the Issuer having given notice 

terminating the Note Purchase Facility and the Class A1A Noteholders having consented thereto in writing; (c) 

the Senior Notes being mandatorily redeemed pursuant to Condition 7(c) (Mandatory Redemption); (d) the 

Class A1B Refinancing Notes being issued and the Total Outstandings being repaid with the proceeds thereof; 

and (e) the occurrence of an Issuer Event of Default. 

In addition, the amount available to be drawn under the Class A1A Notes will be reduced by an amount 

equal to the amount described in paragraphs (b), (c), (d) and (e) above under “Principal Payments”. 

Miscellaneous 

The Class A1A Note Purchase Agreement includes provisions for payments in respect of indemnities 

(including without limitation for Break Costs). 

Rating of Class A1A Noteholder and Defaulting Class A1A Noteholder 

Each holder of a Class A1A Note or its guarantor, as applicable, must also satisfy certain Rating 

Requirements. If any holder of a Class A1A Note or its guarantor, as applicable, fails to satisfy the Rating 

Requirements set out in the Class A1A Note Purchase Agreement or otherwise defaults on its obligation to 

191

provide Drawings under the Class A1A Note Purchase Agreement, the holder of the Class A1A Note shall be 

required to take action as set out more specifically in the Class A1A Note Purchase Agreement which could 

include amongst other things, transferring its obligations to an entity meeting the Rating Requirement or 

depositing the amount of its proportion of the Undrawn Amount into a Stand-by Account established with 

respect to such Class A1A Noteholder where the same may be applied in meeting such Class A1A Noteholder’s 

obligations under the Class A1A Note Purchase Agreement. 

Mechanics of and conditions to drawing 

See also “Description of the Portfolio—Fundings under the Class A1A Notes and Acquisition of Additional 

Collateral Debt Securities”. 

192

DESCRIPTION OF THE ACCOUNTS 

Accounts 

The Issuer has established, with the Account Bank, the Principal Collection Account, the Interest Collection 

Account, the Sterling Principal Account, the Sterling Interest Account, the Euro Expense Account, the Sterling 

Expense Account, the Initial Proceeds Account, the Collateral Enhancement Account, the Additional Collateral 

Account, the Sterling Additional Collateral Account, the Euro Payment Account, the Sterling Payment Account, 

the Euro Liquidity Payment Account, the Sterling Liquidity Payment Account, the Stand-by Liquidity Account, 

the Securities Lending Account and the Euro Principal Reserve Account. 

Principal Collection Account 

The Issuer will, or shall procure that the Collateral Administrator will, credit all Euro Principal Proceeds to 

the Principal Collection Account. Amounts standing to the credit of the Principal Collection Account (save for 

amounts designated for reinvestment by the Collateral Manager in accordance with the Collateral Management 

Agreement in respect of which the time periods specified for reinvestment have not expired and certain other 

amounts, which will be transferred to the Additional Collateral Account) shall be transferred to the Euro 

Payment Account, to the extent required, for disbursement in accordance with Condition 3(c)(iii) (Application of 

Principal Proceeds on Payment Dates) and Condition 3(c)(iv) (Application of Principal Proceeds between 

Payment Dates) and otherwise shall be applied in the acquisition of Additional Collateral Debt Securities to the 

extent permitted pursuant to the Collateral Management Agreement. 

Interest Collection Account 

The Issuer will, or shall procure that the Collateral Administrator will, credit all Euro Interest Proceeds to 

the Interest Collection Account. Amounts standing to the credit of the Interest Collection Account shall be 

transferred to the Euro Payment Account to the extent required, for disbursement pursuant to Condition 3(c)(i) 

(Application of Interest Proceeds on Payment Dates) on a Payment Date and will be applied between Payment 

Dates in paying certain obligations described in Condition 3(c)(ii) (Application of Interest Proceeds between 


Sterling Principal Account 

The Issuer will, or shall procure that the Collateral Administrator will, credit all Sterling Principal Proceeds 

to the Sterling Principal Account. Amounts standing to the credit of the Sterling Principal Account (save for 

amounts designated for reinvestment by the Collateral Manager in accordance with the Collateral Management 

Agreement in respect of which the time periods specified for reinvestment have not expired and certain other 

amounts, which will be transferred to the Sterling Additional Collateral Account) shall be transferred to the 

Sterling Payment Account, to the extent required, for disbursement in accordance with Condition 3(c)(iii) 

(Application of Principal Proceeds on Payment Dates) and Condition 3(c)(iv) (Application of Principal 

Proceeds between Payment Dates) and otherwise shall be applied in the acquisition of Additional Collateral 

Debt Securities to the extent permitted pursuant to the Collateral Management Agreement. 

Sterling Interest Account 

The Issuer will, or shall procure that the Collateral Administrator will, credit all Sterling Interest Proceeds 

to the Sterling Interest Account. Amounts standing to the credit of the Sterling Interest Account shall be 

transferred to the Sterling Payment Account, to the extent required, be applied pursuant to Condition 3(c)(i) 

(Application of Interest Proceeds on Payment Dates) on a Payment Date and will be applied between Payment 

Dates in paying certain obligations described in Condition 3(c)(ii) (Application of Interest Proceeds between 


Euro Expense Account 

The Issuer credited €50,000 or such lesser amount as determined by the Collateral Manager to the Euro 

Expense Account out of the net proceeds of issue on the Issue Date. Such amount may be applied at any time in 

paying certain miscellaneous expenses of the Issuer denominated in Euro. Additional amounts will be credited 

to the Euro Expense Account in accordance with the Priorities of Payment in Condition 3(c) (Priorities of 

Payment). Amounts standing to the credit of the Euro Expense Account may be invested in Eligible 

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Investments having a maturity date no later than the last Business Day of the Due Period in which such Eligible 

Investment was acquired. 

Sterling Expense Account 

An amount of £20,000 has been credited to the Sterling Expense Account in accordance with the Priorities 

of Payment in Condition 3(c) (Priorities of Payment) and such amount may be applied at any time in paying 

certain miscellaneous expenses of the Issuer denominated in Sterling. Amounts standing to the credit of the 

Sterling Expense Account may be invested in Eligible Investments having a maturity date no later than the last 

Business Day of the Due Period in which such Eligible Investment was acquired. 

Initial Proceeds Account 

On the Issue Date, an amount equal to the amount determined by the Collateral Manager on the Issue Date 

to be sufficient to purchase those Collateral Debt Securities during the Ramp-Up Period (other than Sterling 

Collateral Debt Securities) which were not purchased on or prior to the Issue Date were paid into the Initial 

Proceeds Account to be applied in the acquisition of Collateral Debt Securities during the Ramp-Up Period. To 

the extent that amounts standing to the credit of the Euro Expense Account or Sterling Expense Account are 

insufficient, amounts may be withdrawn from the Initial Proceeds Account to pay all amounts due by the Issuer 

in respect of actions taken on or in connection with the Issue Date with respect to the issue of the Notes. Upon 

receipt by the Collateral Manager, within 30 days after the Target Date, of confirmation by the Rating Agencies 

that none of the ratings assigned by them respectively to any of the Senior Notes and the other Rated Notes on 

the Issue Date have been reduced or withdrawn (or in the event that any such ratings have been reduced or 

withdrawn, confirmation that such ratings have been reinstated), all amounts standing to the credit of the Initial 

Proceeds Account may be designated for reinvestment by the Collateral Manager and transferred to the 

Additional Collateral Account. If no such confirmation is received on the Determination Date prior to the next 

following Payment Date, all amounts standing to the credit of the Initial Proceeds Account will be transferred to 

the Principal Collection Account for application in redemption of the Notes. See Condition 7(c)(ii) (Redemption 

Following Target Date Rating Downgrade) above. Any net proceeds of issue of the Notes remaining on the 

Issue Date which are not required in settlement of agreements to purchase Collateral Debt Securities entered 

into on or prior to the Issue Date, to pay various fees and expenses and to deposit an amount of €50,000 or 

£20,000 or such lesser amount as determined by the Collateral Manager in the Euro Expense Account or 

Sterling Expense Account or to pay certain amounts due under the relevant Initial Hedge Agreement, were paid 

into the Initial Proceeds Account on the Issue Date. 

Prior to the end of the Ramp-Up Period, each Euro Drawing under the Class A1A Notes shall be credited to 

the Initial Proceeds Account and applied in the purchase of Additional Collateral Debt Securities as described 

under “Description of the Portfolio”. After the end of the Ramp-Up Period and during the remainder of the 

Reinvestment Period, Euro drawings under the Class A1A Notes shall be credited to the Additional Collateral 

Account if drawn in Euro and the Sterling Additional Collateral Account if drawn in Sterling. See “Additional 

Collateral Account” and “Sterling Additional Collateral Account” below. 

Collateral Enhancement Account 

The Issuer shall procure that, on each Payment Date, all amounts of interest payable in respect of the Class 

N Notes which the Collateral Manager determines at its discretion shall be applied in payment to the Collateral 

Enhancement Account pursuant to Condition 3(c)(i)(HH) are paid into the Collateral Enhancement Account. 

Amounts standing to the credit of the Collateral Enhancement Account may be applied, at any time, by the 

Collateral Manager, acting on behalf of the Issuer, in the acquisition of or exercise of rights under Collateral 

Enhancement Securities in accordance with the Collateral Management Agreement or in the payment of interest 

on the Class N Notes in accordance with Condition 6(f) (Interest on the Class N Notes). 

Prior to enforcement, amounts standing to the credit of the Collateral Enhancement Account will not be 

transferred to the Euro Payment Account or, as the case may be, the Sterling Payment Account for application 

on any Payment Date in accordance with the Priorities of Payment. 

Additional Collateral Account 

The Issuer shall procure that, on each Payment Date, the amount designated by the Collateral Manager on 

the preceding Determination Date is transferred to the Additional Collateral Account. Payment may be made 

194

out of such account to purchase Additional Collateral Debt Securities denominated in Euro or Non-Euro 

Collateral Debt Security the subject of an Asset Swap Transaction. In addition, after the end of the Ramp-Up 

Period, all drawings under the Class A1A Notes will be credited to the Additional Collateral Account if drawn 

in Euro. 

Sterling Additional Collateral Account 

The Issuer shall procure that, on each Payment Date, the amount designated by the Collateral Manager on 

the preceding Determination Date is transferred to the Sterling Additional Collateral Account. Payment may be 

made out of such account to purchase Additional Collateral Debt Securities denominated in Sterling. In 

addition, during and after the end of the Ramp-Up Period, all drawings under the Class A1A Notes will be 

credited to the Sterling Additional Collateral Account if drawn in Sterling. 

Euro Payment Account 

The Issuer shall procure that all amounts required to be disbursed out of amounts credited to the Interest 

Collection Account, Principal Collection Account and Euro Principal Reserve Account on a Payment Date are 

credited to the Euro Payment Account on the Business Day preceding the relevant Payment Date and all sums 

standing to the credit of the Euro Payment Account shall be disbursed in accordance with the Priorities of 

Payment. 

Sterling Payment Account 

The Issuer shall procure that all amounts required to be disbursed out of amounts credited to the Sterling 

Interest Account and Sterling Principal Account on a Payment Date are credited to the Sterling Payment 

Account on the Business Day preceding the relevant Payment Date and all sums standing to the credit of the 

Sterling Payment Account shall be disbursed in accordance with the Priorities of Payment. 

The Euro Liquidity Payment Account 

The Issuer shall procure that all Euro Interest Proceeds (up to an amount equal to the outstanding principal 

amount of any Liquidity Drawings denominated in Euro and accrued interest thereon and any other amounts in 

respect thereof either between Payment Dates or on the next Payment Date as calculated under the Liquidity 

Facility Agreement) are paid directly into the Euro Liquidity Payment Account promptly upon receipt thereof. 

The Issuer shall procure that on any date, other than a Payment Date, on which it elects to make a payment 

(in whole or in part) in respect of the outstanding principal amount of the Liquidity Drawing denominated in 

Euro and the accrued interest thereon, an amount up to the balance standing to the credit of the Euro Liquidity 

Payment Account on such date be withdrawn and paid directly to the Liquidity Facility Provider or where a 

stand-by drawing is outstanding, to the Stand-by Liquidity Account, provided that: 

(a) no Enforcement Notice has been given; 

(b) no event of default has occurred and is continuing under the Liquidity Facility Agreement; and 

(c) the Issuer has outstanding liabilities denominated in Euro due to the Liquidity Facility Provider under 

the Liquidity Facility Agreement (including all accrued interest) and the amount withdrawn under the 

Liquidity Payment Account on such date will not exceed such outstanding liabilities of the Issuer due 

under the Liquidity Facility Agreement. 

After the occurrence of an Issuer Event of Default the Issuer shall transfer all amounts standing to the credit 

of the Euro Liquidity Payment Account to the Euro Payment Account. 

The Sterling Liquidity Payment Account 

The Issuer shall procure that all Sterling Interest Proceeds (up to an amount equal to the outstanding 

principal amount of any Liquidity Drawings, denominated in Sterling and accrued interest thereon and any other 

amounts in respect thereof either between Payment Dates or on the next Payment Date as calculated under the 

Liquidity Facility Agreement) are paid directly into the Sterling Liquidity Payment Account promptly upon 

receipt thereof. 

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The Issuer shall procure that on any date, other than a Payment Date, on which it elects to make a payment 

(in whole or in part) in respect of the outstanding principal amount of the Liquidity Drawing denominated in 

Sterling and the accrued interest thereon, an amount up to the balance standing to the credit of the Sterling 

Liquidity Payment Account on such date be withdrawn and paid directly to the Liquidity Facility Provider or 

where a stand-by liquidity account denominated in Sterling is established and a stand-by drawing is outstanding, 

to such stand-by liquidity account, provided that: 

(a) no Enforcement Notice has been given; 

(b) no event of default has occurred and is continuing under the Liquidity Facility Agreement; and 

(c) the Issuer has outstanding liabilities denominated in Sterling due to the Liquidity Facility Provider 

under the Liquidity Facility Agreement (including all accrued interest) and the amount withdrawn 

under the Liquidity Payment Account on such date will not exceed such outstanding liabilities of the 

Issuer due under the Liquidity Facility Agreement. 

After the occurrence of an Issuer Event of Default the Issuer shall transfer all amounts standing to the credit 

of the Sterling Liquidity Payment Account to the Sterling Payment Account. 

The Stand-by Liquidity Account 

The Issuer shall procure that if at any time the Liquidity Facility Provider’s rating falls below a short term 

senior unsecured debt rating of at least “F1” by Fitch and “A-1” by S&P, and the Liquidity Facility Provider 

elects to pay the Issuer the undrawn commitment under the Liquidity Facility that such undrawn commitment 

will be paid into the Stand-by Liquidity Account. In addition, the Issuer shall procure that any Non-Extension 

Drawing made under the Liquidity Facility is paid into the Stand-by Liquidity Account. 

The Issuer shall procure that the amounts standing to the credit of the Stand-by Liquidity Account are only 

utilised for the purposes stated in the Liquidity Facility Agreement and the amount drawn from the Stand-by 

Liquidity Account on the relevant drawdown date in accordance with the Liquidity Facility Agreement shall be 

transferred into the Interest Collection Account or as the case may be the Sterling Interest Account. The Issuer 

shall procure that such amounts repaid on a date, other than a Payment Date, on which it elects to make a 

payment in respect of any outstanding stand-by drawings shall be from amounts transferred from the Euro 

Liquidity Payment Account into the Stand-by Liquidity Account and, shall be applied in accordance with the 

Liquidity Facility Agreement. The Issuer shall procure the repayment of the amount standing to the credit of the 

Stand-by Liquidity Account to the Liquidity Facility Provider as and when such amount is to be paid under the 

Liquidity Facility Agreement. In addition, the Collateral Administrator shall on behalf of the Issuer invest the 

amounts not required to be utilised in the Stand-by Liquidity Account from time to time in Eligible Investments 

if directed to do so by the Liquidity Facility Provider in accordance with the provisions of the Liquidity Facility 

Agreement. 

Where a drawing under the Liquidity Facility Agreement is required to be made in Sterling, the Issuer shall 

withdraw a sufficient amount of Euro from the Stand-by Liquidity Account for such drawing and shall enter into 

a forward agreement with a Hedge Counterparty to acquire the same amount of Euro withdrawn from the Standby 

Liquidity Account on the next Payment Date. The Euro amounts received by the Issuer pursuant to the 

forward agreement shall be deposited into the Stand-by Liquidity Account on the relevant Payment Date. 

All interest accrued on the amounts standing to the credit of the Stand-by Liquidity Account from time to 

time shall be to the credit of the Issuer and shall remain in the Stand-by Liquidity Account and used to pay 

interest on the Stand-by Liquidity Drawing in accordance with the provisions of the Liquidity Facility 

Agreement. 

Following the occurrence of an Issuer Event of Default, all amounts standing to the credit of the Stand-by 

Liquidity Account shall be transferred to the Liquidity Facility Provider. 

The Euro Principal Reserve Account 

The Issuer will, or shall procure that the Collateral Administrator will credit any Sterling Principal Proceeds 

(converted into Euro) and Euro Principal Proceeds specified in Condition 3(c)(v) (FX Conversion) to be credited 

to the Euro Principal Reserve Account into the Euro Principal Reserve Account and will use such funds in 

accordance with Condition 3(c) (Priorities of Payments). 

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The Securities Lending Account 

The Issuer shall procure that all Securities Lending Collateral is paid into subaccounts (each relating to 

individual Securities Lending Counterparties) within the Securities Lending Account promptly upon receipt 

thereof. Such funds will not be included as Collateral for the purposes of making any determination based on 

the composition or aggregate principal amount of the Collateral nor will such funds be available to make 

payments of interest or principal to the holders of the Notes. 

The Issuer shall procure payment (and shall ensure that payment of no other amount is made) out of the 

Securities Lending Account: 

(a) upon the occurrence of an event of default under a Securities Lending Agreement, of funds from the 

related subaccount of the Securities Lending Account in an amount agreed in the related Securities 

Lending Agreement, to the Principal Collection Account or Sterling Principal Account; 

(b) to the Securities Lending Counterparty to the extent required under the Securities Lending Agreement 

from time to time; and 

(c) of all interest accrued on the Securities Lending Account to the Interest Collection Account or the 

Sterling Interest Account (other than amounts payable pursuant to paragraph (b) above). 

The Stand-by Account 

The Issuer shall procure the establishment of any Stand-by Account whenever it or the Collateral 

Administrator is notified by the Capital Commitment Registrar that a Stand-by Account is required to be set up 

pursuant to the Class A1A Note Purchase Agreement and the Issuer will procure that any Stand-by Account if 

established will be operated in accordance with the provisions of the Class A1A Note Purchase Agreement. 

The Currency Account(s) 

The Issuer shall procure that Currency Account denominated in the required currency are established with 

the Account Bank whenever the Issuer acquires a Non-Euro Collateral Debt Security denominated in a currency 

for which there is no corresponding Currency Account denominated in such currency. The Issuer shall procure 

that all non-Euro amounts received by it pursuant to any Non-Euro Collateral Debt Securities are paid into the 

Currency Account denominated in the same non-Euro currency pending payment of such non-Euro amount by 

the Issuer to a Hedge Counterparty pursuant to a related Asset Swap Transaction. The Issuer will arrange for all 

amounts required to be paid by it to a Hedge Counterparty with respect to a Non-Euro Collateral Debt Security 

pursuant to an Asset Swap Transaction to be withdrawn from the relevant Currency Account and paid to the 

Hedge Counterparty. 

Transfer upon Downgrade 

In the event that the short term senior unsecured and unsubordinated rating of the Account Bank falls below 

a rating of “F1” by Fitch or “A-1+” by S&P, then the Account Bank shall within 30 days of such downgrade 

transfer all of the funds standing to the credit of the Accounts to such other bank whose short term senior 

unsecured and unsubordinated rating is rated “F1” by Fitch and “A-1+” by S&P. 

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TAX CONSIDERATIONS 

General 

The following is a summary, based upon present law, of certain Dutch, German, United Kingdom and U.S. 

federal income tax considerations for prospective purchasers of the Notes. The discussion does not consider the 

circumstances of particular purchasers, some of which (such as banks, insurance companies, dealers, traders, 

financial institutions, real estate investment trusts, regulated investment companies, grantor trusts, tax exempt 

organisations or persons holding the Notes as part of a hedge, straddle, conversion, integrated transaction or 

constructive sale transaction with other investments) are subject to special tax regimes. The discussion is a 

general summary; it is not a substitute for tax advice. 

EACH PROSPECTIVE PURCHASER IS URGED TO CONSULT ITS OWN TAX ADVISER ABOUT 

THE TAX CONSEQUENCES OF AN INVESTMENT IN THE NOTES UNDER THE LAWS OF THE 

NETHERLANDS, THE UNITED STATES AND ITS CONSTITUENT JURISDICTIONS, AND ANY 

OTHER JURISDICTIONS WHERE THE PURCHASER MAY BE SUBJECT TO TAXATION. 

Purchasers of Notes may be required to pay stamp taxes and other charges in accordance with the laws and 

practices of the country of purchase in addition to the issue price of each Note. 

Potential purchasers who are in any doubt about their tax position on purchase, ownership, transfer or 

exercise of any rights in respect of any Note should consult their own tax advisers. In particular, no 

representation is made as to the manner in which payments under the Notes would be characterised by 

any relevant taxing authority. 

Taxation of The Netherlands 

The comments below are of a general nature based on taxation law and practice in The Netherlands as at 

the date of this Prospectus and are subject to any changes therein. They relate only to the position of persons 

who are absolute beneficial owners of the Notes. The following is a general description of certain tax 

considerations relating to the Notes. It does not purport to be a complete analysis of all tax considerations 

relating to the Notes and so should be treated with appropriate caution. In particular, it does not take into 

consideration any tax implications that may arise on a substitution of the Issuer. Prospective investors should 

consult their own professional advisors concerning the possible tax consequences of purchasing, holding and/or 

selling Notes and receiving payments of interest, principal and/or other amounts under the Notes under the 

applicable laws of their country of citizenship, residence or domicile. 

Under the existing laws of The Netherlands: 

(a) all payments of interest and principal by the Issuer under the Notes can be made free of withholding or 

deduction for any taxes of whatsoever nature imposed, levied, withheld, or assessed by The 

Netherlands or any political subdivision or taxing authority thereof or therein; 

(b) a holder of a Note who derives income from a Note or who realises a gain on the disposal or 

redemption of a Note will not be subject to Dutch taxation on such income or capital gain, unless: 

(i) the holder is, or is deemed to be, resident in The Netherlands or, where the holder is an individual, 

such holder has elected to be treated as a resident of The Netherlands; or 

(ii) such income or gain is attributable to an enterprise or part thereof which is either effectively 

managed in The Netherlands or carried on through a permanent establishment (vaste inrichting) or 

a permanent representative (vaste vertegenwoordiger) in The Netherlands; or 

(iii) the holder is an individual and such income or gain qualifies as income from activities that exceed 

normal active portfolio management in The Netherlands; 

(c) Dutch gift, estate or inheritance taxes will not be levied on the occasion of the transfer of a Note by 

way of gift by, or on the death of, a holder unless: 

(i) the holder is, or is deemed to be, resident in The Netherlands for the purpose of the relevant 

provisions; or 

198

(ii) the transfer is construed as an inheritance or as a gift made by or on behalf of a person who, at the 

time of the gift or death, is, or is deemed to be, resident in The Netherlands for the purpose of the 

relevant provisions; or 

(iii) such Note is attributable to an enterprise or part thereof which is either effectively managed in The 

Netherlands or carried on through a permanent establishment or a permanent representative in The 

Netherlands; 

(d) there is no Dutch registration tax, stamp duty or any other similar tax or duty payable in The 

Netherlands in respect of or in connection with the execution, delivery and/or enforcement by legal 

proceedings (including any foreign judgment in the courts of The Netherlands) of the Notes or the 

performance of the Issuer’s obligations under the Notes; 

(e) there is no Dutch value added tax payable in respect of payments in consideration for the issue of the 

Notes or in respect of the payment of interest or principal under the Notes or the transfer of a Note, 

provided that Dutch value added tax may, however, be payable in respect of fees charged for certain 

services rendered to the Issuer, if for Dutch value added tax purposes such services are rendered, or are 

deemed to be rendered, in The Netherlands and an exemption from Dutch value added tax does not 

apply with respect to such services; and 

(f) 

a holder of a Note will not be treated as a resident of The Netherlands by reason only of the holding of 

a Note or the execution, performance, delivery and/or enforcement of the Notes. 

United States Federal Income Taxation 

General 

The following discussion summarises certain of the material U.S. federal income tax consequences of the 

purchase, beneficial ownership, and disposition of the Notes. 

For purposes of this summary, a “U.S. Holder” is a beneficial owner of a Note that is: 

· an individual who is a citizen or a resident of the United States, for U.S. federal income tax purposes; 

· a corporation (or other entity that is treated as a corporation for U.S. federal tax purposes) that is 

created or organised in or under the laws of the United States or any State thereof (including the 

District of Columbia); 

· an estate whose income is subject to U.S. federal income taxation regardless of its source; or 

· a trust if a court within the United States is able to exercise primary supervision over its administration, 

and one or more United States persons have the authority to control all of its substantial decisions. 

For purposes of this summary, a “Non-U.S. Holder” is a beneficial owner of a Note that is: 

· a non-resident alien individual for U.S. federal income tax purposes; 

· a foreign corporation for U.S. federal income tax purposes; 

· an estate whose income is not subject to U.S. federal income tax on a net income basis; or 

· a trust if no court within the United States is able to exercise primary jurisdiction over its 

administration or if no United States persons have the authority to control all of its substantial 

decisions. 

An individual may, subject to certain exceptions, be deemed to be a resident of the United States for U.S. 

federal income tax purposes by reason of being present in the United States for at least 31 days in the calendar 

year and for an aggregate of at least 183 days during a three-year period ending in the current calendar year 

(counting for such purposes all of the days present in the current year, one-third of the days present in the 

immediately preceding year, and one-sixth of the days present in the second preceding year). 

199

This summary is based on interpretations of the Internal Revenue Code of 1986, as amended (the “Code”), 

regulations issued thereunder, and rulings and decisions currently in effect (or in some cases proposed), all of 

which are subject to change. Any such change may be applied retroactively and may adversely affect the 

federal income tax consequences described herein. This summary addresses only holders that purchase Notes at 

initial issuance and beneficially own such Notes as capital assets and not as part of a “straddle,” “hedge,” 

“synthetic security” or a “conversion transaction” for federal income tax purposes, or as part of some other 

integrated investment. This summary does not discuss all of the tax consequences that may be relevant to 

particular investors or to investors subject to special treatment under the federal income tax laws (such as banks, 

thrifts, or other financial institutions; insurance companies; securities dealers or brokers, or traders in securities 

electing mark-to-market treatment; mutual funds or real estate investment trusts; small business investment 

companies; S corporations; investors that hold their Notes through a partnership or other entity treated as a 

partnership for U.S. federal income tax purposes; investors whose functional currency is not the U.S. dollar; 

certain former citizens or residents of the United States; persons subject to the alternative minimum tax; 

retirement plans or other tax-exempt entities, or persons holding the Notes in tax-deferred or tax-advantaged 

accounts; or “controlled foreign corporations” or a “passive foreign investment companies” for U.S. federal 

income tax purposes). This summary also does not address the tax consequences to shareholders, or other 

equity holders in, or beneficiaries of, a holder, or any state, local or foreign tax consequences of the purchase, 

ownership or disposition of the Notes. 

The following summary was not intended or written to be used, and cannot be used, for the purpose of 

avoiding U.S. federal, state, or local tax penalties. The following summary was written in connection with the 

promotion or marketing by the Issuer and/or the Initial Purchaser of the Notes. 

PROSPECTIVE PURCHASERS OF NOTES SHOULD CONSULT THEIR TAX ADVISORS AS TO 

THE FEDERAL, STATE AND LOCAL TAX CONSEQUENCES TO THEM OF THE PURCHASE, 

OWNERSHIP AND DISPOSITION OF NOTES, AS WELL AS ANY CONSEQUENCES ARISING UNDER 

THE LAWS OF ANY OTHER TAXING JURISDICTION TO WHICH THEY MAY BE SUBJECT. 

U.S. Federal Tax Treatment of the Issuer 

The Code provides a specific exemption from U.S. federal income tax on a net income basis for foreign 

corporations which restrict their activities in the United States to trading in stocks and securities (and any other 

activity closely related thereto) for their own account, whether such trading (or such other activity) is conducted 

by the corporation or its employees or through a resident broker, commission agent, custodian or other agent. 

This particular exemption does not apply to foreign corporations that are engaged in activities in the United 

States other than trading in stocks and securities (and any other activity closely related thereto) for their own 

account or that are dealers in stocks and securities. 

The Issuer intends to rely on the above exemption and does not intend to operate so as to be subject to U.S. 

federal income tax on its net income. However, if it were determined that the Issuer were engaged in a trade or 

business in the United States for federal income tax purposes, and the Issuer had taxable income that was 

effectively connected with such U.S. trade or business, the Issuer would be subject under the Code to the regular 

U.S. corporate income tax on such effectively connected taxable income (and possibly to a 30 per cent. branch 

profits tax as well). The balance of this summary assumes that the Issuer is not subject to U.S. federal income 

tax on its net income. The imposition of such a tax liability would materially affect the Issuer’s financial ability 

to repay the Notes. 

U.S. Federal Tax Treatment of U.S. Holders of the Senior Notes, the Class B Notes, the Class C Notes, the 

Class D Notes, and the Class E Notes 

The Principal Amount Outstanding of Class A1A Notes, the Class A1B Notes, the Class A2 Notes, the 

Class B Notes, the Class C Notes, and the Class D Notes will be treated as indebtedness for U.S. federal income 

tax purposes and the Issuer intends to take the position that the Class E Notes are treated as indebtedness for 

U.S. federal, state, and local income and franchise tax purposes. The Trust Deed requires the Holders to agree 

to take the position that the Class A1A Notes, the Class A1B Notes, the Class A2 Notes, the Class B Notes, the 

Class C Notes, the Class D Notes and the Class E Notes constitute indebtedness for U.S. federal, state and local 

income and franchise tax purposes. The Issuer’s characterisations will be binding on U.S. Holders. 

Nevertheless, the IRS could assert, and a court could ultimately hold, that one or more classes of these Notes are 

equity in the Issuer. If any of these Notes are treated as equity in, rather than debt of, the Issuer for U.S. federal 

income tax purposes, there may be adverse tax consequences to any U.S. Holder of such Notes. Except as 

otherwise indicated, the balance of this summary assumes that all of these Notes are treated as debt of the Issuer 

200

for U.S. federal, state and local income and franchise tax purposes. In the event such Notes are treated as equity 

in the Issuer, prospective investors in these Notes should consult their tax advisors regarding the U.S. federal, 

state and local income and franchise tax consequences to these Notes and the Issuer. 

For U.S. federal income tax purposes, the Issuer will be treated as the issuer of the Notes. 

U.S. Federal Tax Treatment of U.S. Holders of the Senior Notes 

Stated Interest. U.S. Holders of the Senior Notes that use the cash method of accounting and receive a 

payment of interest on a Note denominated in euros will be required to include in gross income the U.S. dollar 

value of the payment in euros on the date the payment is received (based on the U.S. dollar spot rate for the 

euros on the date the payment is received). No exchange gain or loss will be recognised with respect to the 

payment. 

U.S. Holders of the Senior Notes that use the accrual method of accounting or that otherwise are required to 

accrue interest prior to receipt, will be required to include in gross income the U.S. dollar value of the amount of 

interest income that has accrued during the Interest Accrual Period. The U.S. dollar value of the accrued interest 

will be determined by translating the interest income at the average U.S. dollar exchange rate for euros in effect 

during the Interest Accrual Period or, with respect to an Interest Accrual Period that spans two taxable years, the 

partial period within the taxable year. A U.S. Holder may, however, elect to translate the accrued interest 

income using the U.S. dollar spot rate for euros on the last day of the Interest Accrual Period or, with respect to 

an accrual period that spans two taxable years, on the last day of the taxable year. However, if the last day of an 

Interest Accrual Period is within five business days of the receipt of accrued interest, the interest may be 

translated at the U.S. dollar spot rate on the date of receipt. If a U.S. Holder makes the election, it must be 

applied consistently to all of the U.S. Holder’s debt instruments and may not be changed without the consent of 

the IRS. 

An accrual basis U.S. Holder will recognise exchange gain or loss with respect to accrued interest income 

on the date the payment of the income is received in an amount equal to the difference, if any, between the U.S. 

dollar value of the payment in euros on the date received (based on the U.S. dollar spot rate for euros on the date 

received) and the U.S. dollar value of the accrued interest income inclusion (computed as determined above). 

Any exchange gain or loss will generally be treated as U.S. source ordinary income or loss. 

Commitment Fee. U.S. Holders of Class A1A Notes that use the cash method of accounting and receive a 

payment of a Commitment Fee denominated in euro will be required to include in gross income the U.S. dollar 

value of the payment in euros on the date the payment is received (based on the U.S. dollar spot rate for the 

euros on the date the payment is received). No exchange gain or loss will be recognised with respect to the 

payment. 

U.S. Holders of the Class A1A Notes that use the accrual method of accounting, or that otherwise are 

required to accrue a Commitment Fee prior to receipt, will be required to include in gross income the U.S. dollar 

value of the amount of the Commitment Fee that has accrued during the Interest Accrual Period. The U.S. 

dollar value of the accrued Commitment Fee will be determined by translating the Commitment Fee at the 

average U.S. dollar exchange rate for euros in effect during the Interest Accrual Period. 

An accrual basis U.S. Holder will recognise exchange gain or loss with respect to the accrued Commitment 

Fee on the date the payment of the Commitment Fee is received in an amount equal to the difference, if any, 

between the U.S. dollar value of the payment in euros on the date received (based on the U.S. dollar spot rate for 

euros on the date received) and the U.S. dollar value of the accrued Commitment Fee (computed as determined 

above). Any exchange gain or loss will generally be treated as U.S. source ordinary income or loss. 

U.S. Holders of the Class A1A Notes will include in gross income payable payments of the Commitment 

Fee accrued or received on the Class A1A Notes in accordance with their usual method of tax accounting. 

Sale, Exchange and Retirement of the Senior Notes. A U.S. Holder of a Senior Note will, in general, have a 

basis in their Note equal to the U.S. dollar value of the euros paid (based on the U.S. dollar spot rate for euros on 

the date of acquisition) reduced by the U.S. dollar value of any payments of principal received (based on the 

U.S. dollar spot rate for euros on the date received). Upon a sale, exchange, or retirement of a Senior Note, a 

U.S. Holder will generally recognise gain or loss equal to the difference between the U.S. dollar value of the 

euros received on the date of sale, exchange or retirement (less any accrued and unpaid interest, which will be 

taxable as described above) and the holder’s adjusted tax basis in such Note. 

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A U.S. Holder of a Senior Note will recognise exchange gain or loss with respect to principal in an amount 

equal to the difference between (i) the U.S. dollar value of the principal payment (based on the spot rate for 

euros on the date of sale, exchange, retirement, or receipt of a principal payment), and (ii) the U.S. dollar value 

of the euros paid for the Note (or the amount attributable to a principal payment) translated at the spot rate on 

the date the Note was acquired. Exchange gain or loss is realised only to the extent of total gain or loss on the 

transaction, and is generally treated as U.S. source ordinary income or loss. Gain or loss in excess of exchange 

gain or loss will be capital gain or loss and will be long term capital gain or loss if the U.S. Holder held the Note 

for more than one year at the time of disposition. In certain circumstances, U.S. Holders that are individuals may 

be entitled to preferential treatment for net long term capital gains; however, the ability of U.S. Holders to offset 

capital losses against ordinary income is limited. 

U.S. Federal Tax Treatment of U.S. Holders of the Class B Notes, Class C Notes, Class D Notes, and Class 

E Notes 

Original Issue Discount. The Issuer will treat the Class B Notes, Class C Notes, Class D Notes and Class E 

Notes as issued with original issue discount (“OID”) for U.S. federal income tax purposes. The total amount of 

such discount with respect to a Class B Note, Class C Note, Class D Note or Class E Note will equal the sum of 

all payments to be received under such Note less its issue price (the first price at which a substantial amount of 

the Class B Notes, Class C Notes, Class D Notes or Class E Notes were sold to investors). A U.S. Holder of a 

Class B Note, Class C Note, Class D Note or Class E Note will be required to include the U.S. dollar value of 

OID in income as it accrues. The U.S. dollar value of the accrued OID income will be determined by translating 

the OID at the average U.S. dollar exchange rate for euros in effect during the Interest Accrual Period or, with 

respect to an Interest Accrual Period that spans two taxable years, the partial period within the taxable year. A 

U.S. Holder may, however, elect to translate the accrued OID income using the U.S. dollar spot rate for euros on 

the last day of the Interest Accrual Period or, with respect to an accrual period that spans two taxable years, on 

the last day of the taxable year. However, if the last day of an Interest Accrual Period is within five business 

days of the receipt of accrued OID income, the OID income may be translated at the U.S. dollar spot rate on the 

date of receipt. If a U.S. Holder makes the election, it must be applied consistently to all of the U.S. Holder’s 

debt instruments and may not be changed without the consent of the IRS. 

The amount of OID accruing in any accrual period will generally equal the stated interest accruing in that 

period (whether or not currently due) plus any additional amount representing the accrual under a constant yield 

method of any additional OID represented by the excess of the principal amount of the Class B Notes, the Class 

C Notes, the Class D Notes or Class E Notes over their issue price. Accruals of any such additional OID will be 

based on the weighted average life of the Class B Notes, Class C Notes, Class D Notes or Class E Notes rather 

than their stated maturity. It is possible the IRS could assert and a court could ultimately hold that some other 

method of accruing OID on the Class B Notes, Class C Notes, Class D Notes and/or Class E Notes should apply. 

U.S. Holders of the Class B Notes, Class C Notes, Class D Notes and/or Class E Notes may be required to 

include OID in advance of the receipt of cash attributable to such income. Accruals of OID will be calculated 

by assuming that interest will be paid over the life of the Class B Notes, Class C Notes, Class D Notes and Class 

E Notes based on the value of EURIBOR used in setting interest for the first Payment Date, and then adjusting 

the accrual for each subsequent Payment Date based on the difference between the value of EURIBOR used in 

setting interest for that subsequent Payment Date and the assumed rate. 

A U.S. Holder will recognise exchange gain or loss with respect to OID income on the date the payment of 

OID is received in an amount equal to the difference, if any, between the U.S. dollar value of the payment with 

respect to the OID income (based on the U.S. dollar spot rate for euros on the date received) and the U.S. dollar 

value of the accrued OID income (computed as determined above). Any exchange gain or loss will generally be 

treated as U.S. source ordinary income or loss. 

Sale, Exchange and Retirement of the Class B Notes, Class C Notes, Class D Notes and Class E Notes. In 

general, a U.S. Holder of a Class B Note, Class C Note, Class D Note or Class E Note will have a basis in their 

Note equal to the U.S. dollar value of the euros paid for their Note (based on the U.S. dollar spot rate for euros 

on the date their Note was acquired) (i) increased by any amount includable in income by such U.S. Holder as 

OID (as described above), and (ii) reduced by the U.S. dollar value of any payments received on the Note (based 

on the U.S. dollar spot rate for euros on the date received). Upon a sale, exchange, or retirement of a Class B 

Note, Class C Note, Class D Note or Class E Note, a U.S. Holder will generally recognise gain or loss equal to 

the difference between the U.S. dollar value of the euros received on the date of sale, exchange or retirement 

and the holder’s adjusted tax basis in such Note. 

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A U.S. Holder of a Class B Note, Class C Note, Class D Note or Class E Note will recognise exchange gain 

or loss with respect to principal in an amount equal to the difference between (i) the amount of euros received 

translated into U.S. dollars at the spot rate on the date of sale, exchange, retirement or receipt of a principal 

payment, and (ii) the amount of euros paid for the Note (or the amount attributable to a principal payment) 

translated at the spot rate on the date the Note was acquired. Exchange gain or loss is realised only to the extent 

of total gain or loss on the transaction, and is generally treated as U.S. source ordinary income or loss. 

Gain or loss in excess of exchange gain or loss will be capital gain or loss and will be long term capital gain 

or loss if the U.S. Holder held the Note for more than one year at the time of disposition. In certain 

circumstances, U.S. Holders that are individuals may be entitled to preferential treatment for net long term 

capital gains; however, the ability of U.S. Holders to offset capital losses against ordinary income is limited. 

Alternate Characterisations. It is possible that the Class B Notes, Class C Notes, Class D Notes and/or 

Class E Notes could be treated as “contingent payment debt instruments” for federal income tax purposes. In 

this event, the timing of a U.S. Holder’s OID inclusions could differ from that described above and any gain 

recognised on the sale, exchange, or retirement of such Notes would be treated as ordinary income and not 

capital gain. 

Receipt of Euros 

Euros received as payment on a Senior Note, a Class B Note, a Class C Note, a Class D Note or a Class E 

Note or on a sale, exchange or retirement of a Senior Note, a Class B Note, a Class C Note, a Class D Note or a 

Class E Note will have a tax basis equal to its U.S. dollar value at the time such payment is received or at the 

time of such sale, exchange or retirement, as the case may be. Any exchange gain or loss recognised on a sale 

or exchange of the euros will generally be U.S. source ordinary income or loss. 

U.S. Federal Tax Treatment of Tax Exempt U.S. Holders of Senior Notes, Class B Notes, Class C Notes, 

Class D Notes and Class E Notes 

U.S. Holders that are tax exempt entities should not be subject to the tax on unrelated business taxable 

income in respect of the Senior Notes, Class B Notes, Class C Notes, Class D Notes or Class E Notes unless (i) 

these Notes constitute “debt financed property” (as defined in the Code) of that entity or (ii) in the case of any 

of these Notes that are treated as indebtedness for federal income tax purposes, such entity also owns more than 

50 per cent. of the Class N Notes and any Senior Notes, Class B Notes, Class C Notes, Class D Notes or Class E 

Notes that are treated as equity in the Issuer for U.S. federal income tax purposes. 

U.S. Federal Tax Treatment of Non-U.S. Holders of Senior Notes, Class B Notes, Class C Notes, Class D 

Notes and Class E Notes 

In general, payments on the Senior Notes, Class B Notes, Class C Notes, Class D Notes or Class E Notes to 

a Non-U.S. Holder and gain realised on the sale, exchange or retirement of the Senior Notes, Class B Notes, 

Class C Notes, Class D Notes or Class E Notes by a Non-U.S. Holder will not be subject to U.S. federal income 

or withholding tax, unless (i) such income is effectively connected with a trade or business conducted by such 

Non-U.S. Holder in the United States, or (ii) in the case of gain, such Non-U.S. Holder is a non-resident alien 

individual who holds the Senior Notes, Class B Notes, Class C Notes, Class D Notes or Class E Notes as a 

capital asset and is present in the United States for more than 182 days in the taxable year of the sale and certain 

other conditions are satisfied. 

U.S. Federal Tax Treatment of U.S. Holders of Class N Notes 

The Issuer intends to take the position that the Class N Notes constitute equity interests in the Issuer for 

U.S. federal, state and local income and franchise tax purposes, and each holder of a Class N Note by purchase 

of their Class N Note will agree to take this position for U.S. federal, state and local income and franchise tax 

purposes, and the balance of this summary assumes that the Class N Notes are so treated. 

Investment in a Passive Foreign Investment Company. The Issuer will constitute a “passive foreign 

investment company” (a “PFIC”) for federal income tax purposes, and U.S. Holders of the Class N Notes (other 

than certain U.S. Holders that are subject to the rules pertaining to a “controlled foreign corporation,” described 

below) will be considered shareholders in a PFIC. U.S. Holders may desire to make an election to treat the 

Issuer as a “qualified electing fund” (a “QEF”) with respect to such U.S. Holder. Generally, a U.S. Holder 

makes a QEF election on IRS Form 8621, attaching a copy of such form to its U.S. federal income tax return for 

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the first taxable year for which it held its Class N Notes. If a U.S. Holder makes a timely QEF election with 

respect to the Issuer, the electing U.S. Holder will be required in each taxable year to include in gross income (i) 

as ordinary income, such U.S. Holder’s pro rata share of the Issuer’s ordinary earnings, translated into U.S. 

dollars based on the average exchange rate for the Issuer’s taxable year and (ii) as long term capital gain, such 

U.S. Holder’s pro rata share of the Issuer’s net capital gain, translated into U.S. dollars based on the average 

exchange rate for the Issuer’s taxable year, whether or not distributed. A U.S. Holder will not be eligible for the 

dividends received deduction in respect of such income or gain or the preferential rate allowed to individuals for 

dividends from U.S. and certain foreign corporations. In addition, any losses of the Issuer in a taxable year will 

not be available to such U.S. Holder and may not be carried back or forward in computing the Issuer’s ordinary 

earnings and net capital gain in other taxable years. If applicable, the rules pertaining to a “controlled foreign 

corporation”, discussed below, generally override those pertaining to a PFIC with respect to which a QEF 

election is in effect. 

In certain cases in which a QEF does not distribute all of its earnings in a taxable year, the electing U.S. 

Holder may also be permitted to elect to defer payment of some or all of the taxes on the QEF’s income, subject 

to a non-deductible interest charge on the deferred amount. In this respect, prospective purchasers of Class N 

Notes should be aware that it is expected that the Collateral Debt Obligations will include high yield debt 

obligations and such instruments may have substantial OID, the cash payment of which may be deferred, 

perhaps for a substantial period of time. In addition, the Issuer may use proceeds from the sale of Collateral 

Debt Obligations to purchase other Collateral Debt Obligations or to retire other classes of Notes. As a result, in 

any given year, the Issuer may have substantial amounts of earnings for U.S. federal income tax purposes that 

are not distributed on the Class N Notes. Thus, absent an election to defer payment of taxes, U.S. Holders that 

make a QEF election with respect to the Issuer may owe tax on significant “phantom” income. The Issuer will 

provide, upon request, all information and documentation that a U.S. Holder making a QEF election is required 

to obtain for U.S. federal income tax purposes. 

A U.S. Holder of a Class N Note (other than certain U.S. Holders that are subject to the rules pertaining to a 

“controlled foreign corporation,” described below) that does not make a timely QEF election will be required to 

report any gain on the disposition of any Class N Notes entirely as ordinary income and to compute the tax 

liability on such gain and any “Excess Distribution” (as defined below) received in respect of the Class N 

Notes as if such items had been earned rateably over each day in the U.S. Holder’s holding period (or a certain 

portion thereof) for the Class N Notes. An “Excess Distribution” is the amount by which distributions during a 

taxable year in respect of a Class N Note, translated into U.S. dollars at the spot rate on the date received, 

exceed 125 per cent. of the average amount of distributions in respect thereof during the three preceding taxable 

years (or, if shorter, the U.S. Holder’s holding period for the Class N Note). The U.S. Holder will be subject to 

tax on such items at the highest ordinary income tax rate for each taxable year, other than the current year, in 

which the items were treated as having been earned, regardless of the rate otherwise applicable to the U.S. 

Holder. Further, such U.S. Holder will also be liable for a non-deductible interest charge as if such income tax 

liabilities had been due with respect to each such prior year. For purposes of these rules, gifts, exchanges 

pursuant to corporate reorganisations and use of the Class N Notes as security for a loan may be treated as a 

taxable disposition of such Class N Notes. In addition, a stepped up basis in the Class N Notes will not be 

available upon the death of an individual U.S. Holder. 

In many cases, the U.S. federal income tax on any gain on disposition or receipt of Excess Distributions is 

likely to be substantially greater than the tax if a timely QEF election is made. A U.S. HOLDER OF A 

CLASS N NOTE SHOULD CONSIDER CAREFULLY WHETHER TO MAKE A QEF ELECTION 

WITH RESPECT TO SUCH CLASS N NOTE. 

Investment in a Controlled Foreign Corporation. The Issuer will constitute a “controlled foreign 

corporation” (“CFC”) if more than 50 per cent. of the equity interests in the Issuer, measured by reference to 

combined voting power or value, is owned directly, indirectly, or constructively by “United States 

shareholders.” For this purpose, a United States shareholder is any United States person that possesses 

directly, indirectly, or constructively 10 per cent. or more of the combined voting power of all classes of equity 

in the Issuer. It is likely that the Class N Notes will be treated as voting securities. In this case, a U.S. Holder of 

Class N Notes possessing directly, indirectly, or constructively 10 per cent. or more of the sum of the aggregate 

outstanding principal amount of the voting Class N Notes of the Issuer would be treated as a United States 

shareholder. If more than 50 per cent. of the Class N Notes of the Issuer, determined with respect to aggregate 

value or aggregate outstanding principal amount, are owned directly, indirectly, or constructively by such 

United States shareholders, the Issuer would be treated as a CFC. If, for any given taxable year, the Issuer is 

treated as a CFC, a United States shareholder of the Issuer would be required to include as ordinary income an 

amount equal to that person’s pro rata share of the Issuer’s “subpart F income” at the end of such taxable year, 

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translated into U.S. dollars by reference to the average exchange rate for the taxable year of the Issuer. It is 

likely that, if the Issuer were to constitute a CFC, all of its income would be subpart F income. 

If the Issuer is treated as a CFC and a U.S. Holder is treated as a United States shareholder of the Issuer, the 

Issuer would not be treated as a PFIC with respect to such U.S. Holder for the period during which the Issuer 

remains a CFC and such U.S. Holder remains a United States shareholder of the Issuer (the “qualified portion” 

of the U.S. Holder’s holding period for the Class N Notes). As a result, to the extent the Issuer’s subpart F 

income includes net capital gains, such gains would be treated as ordinary income to the United States 

shareholder under the CFC rules, notwithstanding the fact that the character of such gains generally would 

otherwise be preserved under the QEF rules. If the qualified portion of such U.S. Holder’s holding period for 

the Class N Notes subsequently ceases (either because the Issuer ceases to be a CFC or the U.S. Holder ceases 

to be a United States shareholder), then solely for purposes of the PFIC rules, such U.S. Holder’s holding period 

for the Class N Notes would be treated as beginning on the first day following the end of such qualified portion, 

unless the U.S. Holder had owned any Class N Notes for any period of time prior to such qualified portion and 

had not made a QEF election with respect to the Issuer. In that case, the Issuer would again be treated as a PFIC 

which is not a QEF with respect to such U.S. Holder and the beginning of such U.S. Holder’s holding period for 

the Class N Notes would continue to be the date upon which such U.S. Holder acquired the Class N Notes, 

unless the U.S. Holder makes an election to recognise gain with respect to the Class N Notes and a QEF election 

with respect to the Issuer. 

Indirect Interests in PFICs and CFCs. The Issuer intends to purchase only Collateral Debt Obligations that 

are treated by their issuers as indebtedness for U.S. federal income tax purposes. However, the treatment of 

certain of the Collateral Debt Obligations purchased by the Issuer as indebtedness is uncertain. If the Issuer 

owns an Collateral Debt Obligation issued by a foreign corporation that is treated as equity for federal income 

tax purposes, U.S. Holders of Class N Notes and any other Note that is treated as equity in the Issuer could be 

treated as owning an indirect equity interest in a PFIC or a CFC and could be subject to certain adverse tax 

consequences. 

In particular, a U.S. Holder of an indirect equity interest in a PFIC is treated as owning the PFIC directly. 

The U.S. Holder, and not the Issuer, would be required to make a QEF election with respect to each indirect 

interest in a PFIC. However, certain PFIC information statements are necessary for U.S. Holders that have made 

QEF elections, and there can be no assurance that the Issuer can obtain such statements from a PFIC, and thus 

there can be no assurance that a U.S. Holder will be able to make the election with respect to any indirectly held 

PFIC. Accordingly, if the U.S. Holder has not made a QEF election with respect to the indirectly-held PFIC, the 

U.S. Holder would be subject to the adverse consequences described above under “—Investment in a Passive 

Foreign Investment Company” with respect to any excess inclusions of such indirectly-held PFIC, any gain 

indirectly realised by such U.S. Holder on the sale by the Issuer of such PFIC, and any gain indirectly realised 

by such U.S. Holder on the sale by the U.S. Holder of its Notes (which may arise even if the U.S. Holder 

realises a loss on such sale). Moreover, if the U.S. Holder has made a QEF election with respect to the 

indirectly-held PFIC, the U.S. Holder would be required to include in income the U.S. Holder’s pro rata share 

of the indirectly-owned PFIC’s ordinary earnings and net capital gain, translated into U.S. dollars based on the 

average exchange rate for the indirectly-owned PFIC’s taxable year, as if the indirectly-owned PFIC were 

owned directly, and the U.S. Holder would not be permitted to use any losses or other expenses of the Issuer to 

offset such ordinary earnings and/or net capital gains. 

Accordingly, if any of the Collateral Debt Obligations are treated as equity interests in a PFIC, U.S. Holders 

could experience significant amounts of phantom income with respect to such interests. Other adverse tax 

consequences may arise for U.S. Holders that are treated as owning indirect interests in CFCs. U.S. Holders 

should consult their own tax advisors regarding the tax issues associated with such investments in light of their 

own individual circumstances. 

Distributions on Class N Notes. The treatment of actual distributions on the Class N Notes, in very general 

terms, will vary depending on whether a U.S. Holder has made a timely QEF election (as described above). See 

“—Investment in a Passive Foreign Investment Company”. If a timely QEF election has been made, 

distributions should be allocated first to amounts previously taxed pursuant to the QEF election (or pursuant to 

the CFC rules, if applicable) and to this extent will not be taxable to U.S. Holders. A U.S. Holder will recognise 

exchange gain or loss with respect to amounts previously taxed pursuant to the QEF election equal to the 

difference, if any, between the U.S. dollar value of the payment in euros on the date received (based on the U.S. 

dollar spot rate for euros on the date received) and the U.S. dollar value of the previously taxed amount. Any 

exchange gain or loss will generally be treated as U.S. source ordinary income or loss. The U.S. dollar value of 

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any distributions in excess of such previously taxed amounts, translated into U.S. dollars at the spot rate on the 

date received will be taxable to U.S. Holders as ordinary income upon receipt, to the extent of any remaining 

amounts of untaxed current and accumulated earnings and profits of the Issuer. The U.S. dollar value of any 

distributions in excess of previously taxed amounts, translated into U.S. dollars at the spot rate on the date 

received will be taxable to U.S. Holders as ordinary income upon receipt, to the extent of any remaining 

amounts of untaxed current and accumulated earnings and profits of the Issuer. The U.S. dollar value of 

distributions in excess of previously untaxed amounts and any remaining current and accumulated earnings and 

profits of the Issuer, translated into U.S. dollars at the spot rate on the date received will be treated first as a nontaxable 

return of capital and then as capital gain. 

In the event that a U.S. Holder does not make a timely QEF election then, except to the extent that 

distributions may be attributable to amounts previously taxed pursuant to the CFC rules, some or all of any 

distributions with respect to the Class N Notes may constitute Excess Distributions, taxable as previously 

described. See “—Investment in a Passive Foreign Investment Company”. 

Sale, Redemption, or other Disposition of Class N Notes. In general, a U.S. Holder of a Class N Note will 

have a basis in their Note equal to the U.S. dollar value of the euros paid (based on the U.S. dollar spot rate for 

euros on the date of purchase) increased by amounts taxable to such U.S. Holder by reason of a QEF election, or 

by reason of the CFC rules, as applicable (as described above), and decreased by the U.S. dollar value of actual 

distributions (based on the U.S. dollar spot rate for euros on the date of payment) from the Issuer that are 

deemed to consist of such previously taxed amounts or are treated as a non-taxable reduction to the U.S. 

Holder’s tax basis for the Class N Note (as described above). Upon the sale, redemption or other disposition of 

a Class N Note a U.S. Holder will recognise gain or loss equal to the difference between the U.S. dollar value of 

the euros received on the date of sale, redemption or other disposition and such U.S. Holder’s adjusted tax basis. 

Except as discussed below, such gain or loss will be capital gain or loss and will be long term capital gain or 

loss if the U.S. Holder held the Class N Note for more than one year at the time of the disposition. In certain 

circumstances, U.S. Holders who are individuals (or whose income is taxable to U.S. individuals) may be 

entitled to preferential treatment for net long term capital gains; however, the ability of U.S. Holders to offset 

capital losses against ordinary income is limited. 

A U.S. Holder will recognise exchange gain or loss on the sale, redemption, or other disposition of the 

Class N Notes with respect to previously taxed but undistributed amounts attributable to the Class N Notes. For 

purposes of determining the exchange gain or loss, any previously taxed but undistributed amounts attributable 

to the Class N Notes will be treated as distributed to the U.S. Holder immediately prior to the sale, redemption 

or other disposition. A U.S. Holder’s exchange gain or loss is the difference, if any, between the U.S. dollar 

value of the deemed distribution (based on the U.S. dollar spot rate for euros on the date deemed distributed) 

and the U.S. dollar value of the previously taxed income (computed as determined above). Any exchange gain 

or loss will generally be treated as U.S. source ordinary income or loss. 

If a U.S. Holder is subject to the PFIC rules and the U.S. Holder does not make a timely QEF election as 

described above, any gain realised on the sale, redemption, or other disposition of a Class N Note (or any gain 

deemed to accrue prior to the time a non-timely QEF election is made) will be taxed as ordinary income and 

subject to an additional tax reflecting a deemed interest charge under the special tax rules described above. See 

“—Investment in a Passive Foreign Investment Company”. 

If the Issuer is treated as a CFC and a U.S. Holder is treated as a “United States shareholder” therein, then 

any gain realised by such U.S. Holder upon the disposition of a Class N Note, other than gain subject to the 

PFIC rules, if applicable, would be treated as ordinary income to the extent of the U.S. Holder’s pro rata share 

of the Issuer’s current and accumulated earnings and profits. In this regard, earnings and profits would not 

include any amounts previously taxed pursuant to a timely QEF election or pursuant to the CFC rules. 

Transfer Reporting Requirements. A U.S. Holder (including a tax exempt entity) that purchases the Class 

N Notes for cash would be required to file an IRS Form 926 or similar form with the IRS, if (i) such person is 

treated as owning, directly or by attribution, immediately after the transfer at least 10 per cent. by vote or value 

of the Issuer or (ii) if the amount of cash transferred by such person (or any related person) to the Issuer during 

the 12 month period ending on the date of such transfer, exceeds $100,000. A U.S. Holder that is treated as 

owning (actually or constructively) at least 10 per cent. by vote or value of the equity of the Issuer for U.S. 

federal income tax purposes may be required to file an information return on IRS Form 5471, and provide 

additional information regarding the Issuer annually on IRS Form 5471 if it is treated as owning (actually or 

constructively) more than 50 per cent. by vote or value of the equity of the Issuer for U.S. federal income tax 

purposes. 

206

U.S. Holders should consult their tax advisors with respect to this or any other reporting requirement which 

may apply with respect to their acquisition or ownership of the Class N Notes. 

Receipt of Euros 

Euros received as payment on a Class N Note or on a sale, exchange or retirement of a Class N Note will 

have a tax basis equal to its U.S. dollar value at the time such payment is received or at the time of such sale, 

exchange or retirement, as the case may be. Any exchange gain or loss recognised on a sale or exchange of the 

euros will generally be U.S. source ordinary income or loss. 

U.S. Federal Tax Treatment of Tax Exempt U.S. Holders of Class N Notes 

U.S. Holders that are tax exempt entities should not be subject to the tax on unrelated business taxable 

income in respect of the Class N Notes unless the Class N Notes constitute “debt financed property” (as 

defined in the Code) of that entity. 

U.S. Federal Tax Treatment of Non-U.S. Holders of Class N Notes 

In general, payments on the Class N Notes to a Non-U.S. Holder and gain realised on the sale, exchange or 

retirement of the Class N Notes by a Non-U.S. Holder will not be subject to U.S. federal income or withholding 

tax, unless (i) such income is effectively connected with a trade or business conducted by such Non-U.S. Holder 

in the United States, or (ii) in the case of gain, such Non-U.S. Holder is a non-resident alien individual who 

holds the Class N Notes as a capital asset and is present in the United States for more than 182 days in the 

taxable year of the sale and certain other conditions are satisfied. 

Information Reporting and Backup Withholding 

Under certain circumstances, the Code requires “information reporting” annually to the IRS and to each 

holder, and “backup withholding” with respect to certain payments made on or with respect to the Notes. 

Backup withholding generally does not apply with respect to certain Holders, including corporations, tax 

exempt organisations, qualified pension and profit sharing trusts, and individual retirement accounts. Backup 

withholding will apply to a U.S. Holder only if the U.S. Holder (i) fails to furnish its Taxpayer Identification 

Number (“TIN”) which, for an individual, would be his or her Social Security Number, (ii) furnishes an 

incorrect TIN, (iii) is notified by the IRS that it has failed to properly report payments of interest and dividends, 

or (iv) under certain circumstances, fails to certify, under penalty of perjury, that it has furnished a correct TIN 

and has not been notified by the IRS that it is subject to backup withholding for failure to report interest and 

dividend payments. The application for exemption is available by providing a properly completed IRS Form 

W-9. 

A Non-U.S. Holder that provides the applicable IRS Form W-8BEN or Form W-8IMY, together with all 

appropriate attachments, signed under penalties of perjury, identifying the Non-U.S. Holder and stating that the 

Non-U.S. Holder is not a United States person will not be subject to IRS reporting requirements and U.S. 

backup withholding. 

The payment of the proceeds on the disposition of a Note by a holder to or through the U.S. office of a 

broker generally will be subject to information reporting and backup withholding unless the holder either 

certifies its status as a Non-U.S. Holder under penalties of perjury on the applicable IRS Form W-8BEN or 

Form W-8IMY (as described above) or otherwise establishes an exemption. The payment of the proceeds on 

the disposition of a Note by a Non-U.S. Holder or through a non-U.S. office of a non-U.S. broker will not be 

subject to backup withholding or information reporting unless the non-U.S. broker is a “U.S. Related Person” 

(as defined below). The payment of proceeds on the disposition of a Note by a Non-U.S. Holder to or through a 

non 

U.S. office of a U.S. broker or a U.S. Related Person generally will not be subject to backup withholding 

but will be subject to information reporting unless the holder certifies its status as a Non-U.S. Holder under 

penalties of perjury or the broker has certain documentary evidence in its files as to the Non-U.S. Holder’s 

foreign status and the broker has no actual knowledge to the contrary. 

For this purpose, a “U.S. Related Person” is (i) a “controlled foreign corporation” for U.S. federal income 

tax purposes, (ii) a foreign person 50 per cent. or more of whose gross income from all sources for the three year 

period ending with the close of its taxable year preceding the payment (or for such part of the period that the 

207

oker has been in existence) is derived from activities that are effectively connected with the conduct of a U.S. 

trade or business, or (iii) a foreign partnership if at any time during its tax year one or more of its partners are 

United States persons who, in the aggregate, hold more than 50 per cent. of the income or capital interest of the 

partnership or if, at any time during its taxable year, the partnership is engaged in the conduct of a U.S. trade or 

business. 

Backup withholding is not an additional tax and may be refunded (or credited against the holder’s U.S. 

federal income tax liability, if any), provided that certain required information is furnished. The information 

reporting requirements may apply regardless of whether withholding is required. Copies of the information 

returns reporting such interest and withholding also may be made available to the tax authorities in the country 

in which a Non-U.S. Holder is a resident under the provisions of an applicable income tax treaty or agreement. 

THE PRECEDING DISCUSSION IS ONLY A SUMMARY OF CERTAIN OF THE TAX 

IMPLICATIONS OF AN INVESTMENT IN THE NOTES. PROSPECTIVE INVESTORS ARE URGED 

TO CONSULT WITH THEIR OWN TAX ADVISORS PRIOR TO INVESTING TO DETERMINE THE 

TAX IMPLICATIONS OF SUCH INVESTMENT IN LIGHT OF EACH SUCH INVESTOR’S 

PARTICULAR CIRCUMSTANCES. 

German Taxation 

The following information relating to German taxation is a general description of certain German tax 

considerations relating to the Notes and is not intended as tax advice and does not purport to describe all of the 

tax considerations that may be relevant to a prospective purchaser of the Notes. It is based upon German tax 

laws (including tax treaties) in effect and applied as of the date hereof, which are subject to change, potentially 

with retroactive effect. It should be read in conjunction with the section entitled “Risk Factors—German 

Taxation of Noteholders”. 

Prospective purchasers of the Notes are advised to consult their own tax advisers as to the tax 

consequences, under German tax laws and the tax laws of the country of which they are residents, of 

purchasing, holding and disposing of the Notes and receiving payments under the Notes. 

German Investment Tax Act - General 

The taxation of the Notes will in particular depend on whether or not a certain class of Notes is subject to 

the provisions of the German Investment Tax Act (the “Investment Tax Act”). 

There is currently legal uncertainty in the Federal Republic of Germany as to whether the Investment Tax 

Act would apply to certain classes of collateralised debt obligation (“CDO”) notes and similar instruments. In 

particular, although the German Federal Ministry of Finance (Bundesfinanzministerium — BMF) issued the 

Decree, which should largely exclude CDO notes and similar instruments from the scope of the German 

Investment Tax Act, provided that the tests set out in the Decree are met, there is a risk as to the interpretation of 

such tests. Such tax risk particularly applies with respect to the Class N Notes. With respect to the Rated Notes, 

however, there exists a remote risk that the German tax authorities take a different view regarding the 

application of the Investment Tax Act. 

Noteholders Subject to the Investment Tax Act 

The Investment Tax Act applies to investors holding Notes that fall within the scope of the Investment Tax 

Act if: 

(a) such Noteholder is resident in Germany for German tax purposes; or 

(b) such Noteholder is not resident in Germany for German tax purposes but holds such Notes through a 

permanent establishment (or a permanent representative) in Germany; or 

(c) such a Noteholder (other than a foreign credit institution or a foreign financial services institution) 

physically presents such Notes at the office of a “German Disbursing Agent”, being a German credit 

institution or a German financial services institution each as defined in the German Banking Act 

(Kreditwesengesetz), including a German branch of a non-German credit institution or a non-German 

financial services institution, but excluding a non-German branch of a German credit institution or a 

German financial services institution (an “over-the-counter-transaction” (Tafelgeschäft)), 

208

(all such Noteholders, together, the “Noteholders Subject to the Investment Tax Act”). 

Such application of the Investment Tax Act would have an adverse impact on the tax position of such 

Noteholders as the Issuer has made no arrangements to comply with certain reporting requirements under the 

Investment Tax Act (the “Investment Tax Act Reporting Requirements”). Consequently, any Noteholders 

Subject to the Investment Tax Act holding such Notes will in principle be subject to the adverse lump-sum 

taxation provisions of section 6 of the Investment Tax Act. In this case annually, the higher of (i) distributions 

on such Notes, the interim profit (Zwischengewinn) and 70 per cent. of the annual increase in the market price of 

such Notes and (ii) 6 per cent. of the market price at the end of every calendar year (“Assumed Profits”) would 

be taxed. 

Furthermore, in such case, withholding tax may be levied not only on the gross amount of payments 

received by the Noteholders Subject to the Investment Tax Act, but also on the aggregate amount of Assumed 

Profits. 

Capital gains on the sale or partial or final redemption of the Notes are subject to income tax or corporate 

income tax and, as the case may be, trade tax in Germany. 

If the Investment Tax Act applies, Noteholders will also be subject to tax in Germany on the interim profit 

(Zwischengewinn) upon redemption or disposal of the Notes. The interim profit represents, for example, interest 

accrued or received by an investment fund (within the meaning of the Investment Tax Act) but not yet 

distributed or attributed to the investors in the fund. The Issuer will not calculate and publish the interim profits. 

As a consequence, investors holding the Notes Subject to the Investment Tax Act will upon redemption or 

disposal of the Notes be subject to a special lump sum taxation, i.e. up to 6 per cent. of the consideration for the 

redemption or disposal of the Notes will be treated as taxable deemed interim profits. 

Where Notes to which the Investment Tax Act would apply are kept in a custodial account maintained with 

a German Disbursing Agent, such German Disbursing Agent would be required to withhold tax at a rate of 30 

per cent. (plus solidarity charge thereon at a rate of 5.5 per cent.) not only of the gross amount of interest paid, 

but also on the aggregate amount of income deemed to have accrued to the holder of the Notes which are subject 

to the Investment Tax Act, i.e. on the Assumed Profits and not yet otherwise subject to taxation. In the case of 

over-the-counter transactions (Tafelgeschäft), the withholding tax will be levied on the Assumed Profits at a rate 

of 35 per cent. (plus 5.5 per cent. solidarity surcharge thereon). This is also applicable with respect to interim 

profits. 

German Investors in Notes not falling within the Scope of the German Investment Tax Act 

Payments of interest on Notes not falling within the scope of the German Investment Tax Act (“Interest”) 

are subject to tax in Germany if paid to a Noteholder who: 

(a) is resident in Germany for German tax purposes; or 

(b) is not resident in Germany for German tax purposes but holds the Notes through a permanent 

establishment (or a permanent representative) in Germany (each such investor, a “German Investor”) 

Interest paid to a German Investor is subject to income tax or corporate income tax (in each case plus 

solidarity surcharge thereon at a rate of 5.5 per cent.) and, as the case may be, trade tax in Germany. 

Interest paid to a German Investor is subject to withholding tax if: 

(a) the German Investor keeps the Notes in a custodial account with a German Disbursing Agent; or 

(b) if the Notes are physically presented at the office of a German Disbursing Agent (an “over-thecounter-transaction” 

(Tafelgeschäft)). 

If such withholding tax is due, such withholding tax will be deducted at a rate of 30 per cent. or, in the case 

of an over-the-counter-transaction, at a rate of 35 per cent. (in each case plus solidarity surcharge thereon at a 

rate of 5.5 per cent.). Such withholding tax is credited against the income tax and corporate income tax liability, 

respectively, of the German Investors or, as the case may be, refunded. 

209

Capital gains made on the sale or partial or full redemption of the Notes (including accrued interest) or 

otherwise realised by a German Investor are subject to income tax or corporate income tax (in each case plus 

solidarity surcharge thereon at a rate of 5.5 per cent.) and, as the case may be, trade tax in Germany. 

Capital gains realised by a German Investor are subject to withholding tax subject to the same conditions 

under which Interest paid to German Investors is subject to withholding tax (see above). The capital gain 

subject to withholding tax is the accrued interest if such accrued interest is charged separately (Stückzinsen). If 

such accrued interest is not charged separately, the capital gain subject to withholding tax is the sales revenue 

net of the purchase price, provided that the Notes are acquired or sold and kept thereafter in a custodial account 

by a German Disbursing Agent; otherwise the capital gain subject to withholding tax is equal to 30 per cent. of 

the (gross) sales revenue. The German withholding tax (tax rate 30 per cent. or, in the case of an over-thecounter-transaction, 

35 per cent., in each case plus solidarity surcharge thereon at a rate of 5.5 per cent.) is 

credited against the income tax and corporate income tax liability, respectively, of the German Investor or, as 

the case may be, refunded. 

The Issuer is not required to gross up any payments made to a German Investor or any other investor or to 

otherwise compensate or indemnify such German Investor or any other investor for withholding taxes levied in 

connection with capital gains or interest payments (including accrued interest). 

Non-German Investors in Notes not falling within the scope of the German Investment Tax Act 

Interest on the Notes not falling within the scope of the Investment Tax Act paid to an investor other than a 

German Investor is subject to tax in Germany if such investor physically presents the coupons at the office of a 

German Disbursing Agent (an “over-the-counter-transaction” (Tafelgeschäft)), unless (i) such investor 

qualifies as a foreign credit institution or foreign financial services institution, or (ii) the Notes are kept in a 

custodial account with the German Disbursing Agent (each such investor, a “Foreign Taxable Investor”). 

Interest paid to a Foreign Taxable Investor is subject to withholding tax at a rate of 35 per cent. (plus 

solidarity charge thereon at a rate of 5.5 per cent.). Such withholding tax is not credited or refunded. 

Capital gains made on the sale of the Notes not falling within the scope of the Investment Tax Act by a 

Foreign Taxable Investor are subject to withholding tax subject to the same conditions under which interest paid 

to a Foreign Taxable Investor is subject to tax in Germany. The capital gain subject to withholding tax is the 

accrued interest if such accrued interest is charged separately (Stückzinsen). If such accrued interest is not 

charged separately, the capital gain subject to withholding tax is the sales revenue net of the purchase price, 

provided that the Notes are acquired or sold and kept thereafter in a custodial account by a German Disbursing 

Agent; otherwise the capital gain subject to withholding tax is equal to 30 per cent. of the (gross) sales revenue. 

The German withholding tax (tax rate 35 per cent. plus solidarity charge thereon at a rate of 5.5 per cent.) is not 

credited or refunded. 

Investors Subject to the German CFC rules 

In accordance with the German CFC rules, as set out in the German Foreign Tax Act (Außensteuergesetz 

(the “FTA”), a non-German entity is classified as a so-called CFC (Zwischengesellschaft) (i) if it is organised in 

a legal form comparable to an entity which, if domiciled in Germany, would be subject to German corporate tax, 

(ii) if it does not conduct an “active business” within the meaning of Section 8 FTA, and (iii) which is taxed at 

an effective rate of less than 25 per cent. 

The income of such a CFC is taxed at the level of German tax residents if German tax residents in total hold 

more than, in principle, 50 per cent. of the shares or voting rights in such CFC. However, the German CFC 

rules even apply if one German tax resident holds less than 1 per cent. of the shares or voting rights in such 

foreign entity and if such foreign entity exclusively or almost exclusively earns income from “capital 

investments”, income from investments in receivables, stocks and bonds, shares or similar assets. Since the 

Notes do not provide for shareholder rights (e.g. general voting rights) and are structured as a mere contractual 

relationship with contingent interest coupons, the Issuer believes that the Notes should not be considered as a 

shareholding within the meaning of the German CFC rules. 

However, there remains a risk that particularly the Class N Notes could be re-qualified into a “qualifying 

interest” under German CFC rules according to which all income of the Issuer would be taxable at the level of 

the German Noteholders of the Class N Notes in accordance with its pro rata share in the assets of the Issuer. 

This would lead to the tax consequence that any profit of the Issuer which is not distributed to holders of Class 

210

N Notes would be taxable as of the end of the fiscal year of the Issuer for such Noteholders; in this context it has 

to be noted that “profits” within the meaning of the German CFC rules are to be determined by applying 

German taxation principles and therefore could be different from a mere cash-flow analysis. In case the 

Investment Tax Act is applied, it will in principle prevail over the provisions of the German CFC rules. 

German Gift Tax 

The gratuitous transfer of Notes by an investor as a gift is subject to German gift tax if the investor or the 

recipient is resident or deemed to be resident in Germany under German law at the time of the transfer or if the 

Notes form part of the business property of a permanent establishment maintained in Germany by the investor. 

Proposed Changes in German tax law 

On 25 May 2007 the German government issued a draft tax reform act in which it proposed to introduce a 

25 per cent. final withholding tax (Abgeltungssteuer) on private investment income and capital gains and 

potentially also on deemed income and capital gains calculated in accordance with the lump-sum provisions of 

the Investment Tax Act. It is proposed that the new scheme would become effective on 1 January 2009 and 

would result in a modification and extension of the current German withholding tax regime. Under the new 

regime, the withholding tax shall in principle be final, while under current law the withholding tax is — in case 

of German tax residents — a prepayment of the income tax liability. Capital losses from the disposal of 

financial assets shall be offset only if the taxpayer opts for tax assessment and such offsetting shall be subject to 

additional restrictions. The provisions necessary to introduce the final withholding tax scheme have not yet 

been drafted and the proposal is still subject to discussions and may therefore be subject to modifications and it 

is still uncertain whether and, if so, when and in what form the new regime will be introduced. 

EU Directive on the taxation of savings income in the form of interest payments (Council Directive 

2003/48/EC) 

Under EC Council Directive 2003/48/EC on the taxation of savings income, each Member State is required 

to provide to the tax authorities of another Member State details of payments of interest or other similar income 

paid by a person within its jurisdiction to, or collected by such a person for, an individual resident in that other 

Member State; however, for a transitional period, Austria, Belgium and Luxembourg may instead apply a 

withholding system in relation to such payments, deducting tax at rates rising over time to 35 per cent. The 

transitional period is to terminate at the end of the first full fiscal year following an agreement by certain non- 

EU countries to the exchange of information relating to such payments. 

In addition, a number of non-EU countries, and certain dependent or associated territories of certain 

Member States, have agreed to adopt similar measures (either provision of information or transitional 

withholding) in relation to payments made by a person within its jurisdiction to, or collected by such a person 

for, an individual resident in a Member State. In addition, the Member States have entered into reciprocal 

provision of information or transitional withholding arrangements with certain of those dependent or associated 

territories in relation to payments made by a person in a Member State to, or collected by such a person for, an 

individual resident in one of those territories. 

THE DISCUSSION ABOVE IS A GENERAL SUMMARY. IT DOES NOT COVER ALL TAX 

MATTERS THAT MAY BE OF IMPORTANCE TO A PARTICULAR INVESTOR. EACH 

PROSPECTIVE INVESTOR IS STRONGLY URGED TO CONSULT ITS OWN TAX ADVISOR 

ABOUT THE TAX CONSEQUENCES OF AN INVESTMENT IN THE NOTES UNDER THE 

INVESTOR’S OWN CIRCUMSTANCES. 

United Kingdom Taxation 

The following, which applies only to persons who are the beneficial owners of the Notes (each referred to 

herein as being a “Holder”), is a summary of the Issuer’s understanding of current United Kingdom tax law and 

HM Revenue & Customs in the United Kingdom (“HMRC”) practice as at the date of this Prospectus relating 

to certain aspects of the United Kingdom taxation of the Notes. It is not a comprehensive analysis of the tax 

consequences arising in respect of Notes and so should be treated with appropriate caution. Some aspects do not 

apply to certain classes of taxpayer (such as dealers). Prospective Holders who are in any doubt about their tax 

position or who may be subject to a tax in a jurisdiction other than the United Kingdom should seek their own 

professional advice. 

211

Holders who may be liable to taxation in jurisdictions other than the United Kingdom in respect of their 

acquisition, holding or disposal of the Notes are particularly advised to consult their professional advisers as to 

whether they are so liable (and, if so, under the laws of which jurisdictions), since the following comments 

relate only to certain United Kingdom taxation aspects of payments in respect of the Notes. In particular, 

Holders should be aware that they may be liable to taxation under the laws of other jurisdictions in relation to 

payments in respect of the Notes even if such payments may be made without withholding or deduction for or 

on account of taxation under the laws of the United Kingdom. 

Taxation of Interest Paid 

If interest payable under the Notes is not treated as having a United Kingdom source for United Kingdom 

tax purposes, the interest may be paid without or deduction for or on account of United Kingdom tax. 

If interest payable under the Notes is treated as having a United Kingdom source, the position set out in the 

following paragraphs below will apply. Interest on the Notes may have a United Kingdom source where, for 

example, interest is paid out of funds originating from the United Kingdom. 

Interest which has a United Kingdom source (“UK interest”) may be paid by the Issuer without 

withholding or deduction for or on account of united Kingdom income tax if the Notes in respect of which the 

UK interest is paid constitute “quoted Eurobonds”. Notes which are issued by a company and which carry a 

right to interest will constitute quoted Eurobonds, provided they are and continue to be listed on a “recognised 

stock exchange” within the meaning of section 1005 of the Income Tax Act 2007. On the basis of the 

interpretation of the relevant legislation published by HMRC, securities which are to be listed on a stock 

exchange in a country which is a member state of the European Union or which is part of the European 

Economic Area will satisfy this requirement if they are listed by a competent authority in that country and are 

admitted to trading on a recognised stock exchange in that country; securities which are to be listed on a stock 

exchange in any other country will satisfy this requirement if they are admitted to trading on a recognised stock 

exchange in that country. The Irish Stock Exchange is a “recognised stock exchange” for these purposes. The 

Notes will therefore satisfy these requirements if they are listed by the competent authority in Ireland and are 

admitted to trading by the Irish Stock Exchange. Provided that the Notes remain so listed and admitted to 

trading, interest on the Notes is payable without withholding for or on account of United Kingdom income tax, 

even where the interest is treated as having a United Kingdom source. 

In all cases falling outside the exemption described above, interest on the Notes may, where the interest is 

treated as having a United Kingdom source, be paid under deduction of United Kingdom income tax at the 

lower rate (currently 20 per cent.) subject to such relief as may be available. 

The references to “interest” and “principal” in this summary of the United Kingdom withholding tax 

position mean “interest” and “principal” as understood in United Kingdom revenue law. The statements in this 

summary do not take any account of any different definitions of “interest” or “principal” which may prevail 

under any other law or which may be created by the terms and conditions of the Notes or any related 

documentation. 

The above description of the United Kingdom withholding tax position assumes that there will be no 

substitution of the Issuer and does not consider the tax consequences if any such substitution occurs. 

Provision of Information 

Holders who are individuals should note that where any interest on the Notes is paid to them (or to any 

person acting on their behalf) by any person in the United Kingdom acting on behalf of the Issuer (a “paying 

agent”), or is received by any person in the United Kingdom acting on behalf of the relevant Holder (other than 

solely by clearing or arranging the clearing of a cheque) (a “collecting agent”), then the paying agent or the 

collecting agent (as the case may be) may, in certain cases, be required to supply to HMRC details of the 

payment and certain details relating to the Holder (including the Holder’s name and address). These provisions 

will apply (a) whether or not the interest has been paid subject to withholding or deduction for or on account of 

United Kingdom income tax, (b) whether or not the interest is treated as having a United Kingdom source and 

(c) whether or not the Holder is resident in the United Kingdom for United Kingdom taxation purposes. Where 

the Holder is not so resident, the details provided to HMRC may, in certain cases, be passed by HMRC to the 

tax authorities of the jurisdiction in which the Holder is resident for taxation purposes. The provisions referred 

to above may also apply, in certain circumstances, to payments made on redemption of the Notes where the 

amount payable on redemption is greater than the issue price of the Notes. 

212

Stamp Duty and Stamp Duty Reserve Tax 

No United Kingdom stamp duty or stamp duty reserve tax is payable on the issue of the Notes. 

213

ERISA CONSIDERATIONS 

The U.S. Employee Retirement Income Security Act of 1974, as amended (“ERISA”), imposes certain 

requirements on employee benefit plans subject to ERISA, including entities (such as collective investment 

funds and some insurance company separate accounts) whose underlying assets are treated as being subject to 

ERISA (collectively, “ERISA Plans”) and on those persons who are fiduciaries with respect to ERISA Plans. 

Investments by ERISA Plans are subject to ERISA’s general fiduciary requirements, including the requirement 

of investment prudence and diversification and the requirement that an ERISA Plan’s investments be made in 

accordance with the documents governing the ERISA Plan. The prudence of a particular investment should be 

determined by the responsible fiduciary of an ERISA Plan by taking into account the ERISA Plan’s particular 

circumstances and all of the facts and circumstances of the investment including, but not limited to, the matters 

discussed above under “Risk Factors” and the fact that in the future there may be no market in which such 

fiduciary will be able to sell or otherwise dispose of the Notes. 

Section 406 of ERISA and Section 4975 of the Code prohibit certain transactions involving the assets of an 

ERISA Plan, as well as those plans that are not subject to ERISA but which are subject to Section 4975 of the 

Code, such as individual retirement accounts and Keogh plans, and including entities whose underlying assets 

are deemed to include assets of any such plan (together with ERISA Plans, “Plans”), and certain persons 

(referred to as “parties in interest” under ERISA or “disqualified persons” under Section 4975 of the Code) 

having certain relationships to such Plans, unless a statutory or administrative exemption is applicable to the 

transaction. A party in interest or disqualified person who engages in a prohibited transaction may be subject to 

excise taxes or other liabilities under ERISA and the Code. 

Each of the Issuer, the Initial Purchaser and the Collateral Manager as a result of their own activities or 

because of the activities of an affiliate, may be considered a party in interest or a disqualified person with 

respect to Plans. Accordingly, prohibited transactions within the meaning of Section 406 of ERISA and Section 

4975 of the Code may arise if Notes are acquired or held by a Plan with respect to which any of the Issuer, the 

Initial Purchaser, the Collateral Manager, the obligors on or issuers of the Notes or any of their respective 

affiliates is or becomes a party in interest or disqualified person. In addition, if a party in interest or disqualified 

person with respect to a Plan owns or acquires a 50 per cent. or more beneficial interest in the Issuer, the 

acquisition or holding of Notes by or on behalf of the Plan could be considered to constitute an indirect 

prohibited transaction under ERISA or Section 4975 of the Code. Moreover, the acquisition or holding of Notes 

or other indebtedness issued by the Issuer by or on behalf of a party in interest or disqualified person with 

respect to a Plan that owns or acquires an equity interest in the Issuer also could give rise to an indirect 

prohibited transaction under ERISA or Section 4975 of the Code. 

Certain exemptions from such prohibited transaction rules could be applicable. Included among these 

exemptions are Prohibited Transaction Class Exemption (“PTE”) 90-1, regarding investments by insurance 

company pooled separate accounts; PTE 91-38, regarding investments by bank collective investment funds; 

PTE 84-14, regarding transactions effected by a “qualified professional asset manager”; PTE 96-23, regarding 

investments by certain in house asset managers; PTE 95-60, regarding investments by insurance company 

general accounts; and Section 408(b)(17) of ERISA and Section 4975(d)(20) of the Code regarding transactions 

with certain service providers. Even if the conditions specified in one or more of these exemptions are met, the 

scope of the relief provided by these exemptions might not cover all acts which might be construed as prohibited 

transactions under ERISA or Section 4975 of the Code. If a purchase of Notes were to be a non-exempt 

prohibited transaction, the purchase would have to be rescinded. 

Governmental plans, certain church plans and certain non-U.S. plans, while not subject to the fiduciary 

responsibility or prohibited transaction provisions of ERISA or the provisions of Section 4975 of the Code, may 

nevertheless be subject to local, state, other federal laws or non-U.S. laws that are similar to the foregoing 

provisions of ERISA and the Code and may be subject to the prohibited transaction rules of Section 503 of the 

Code. 

Section 3(42) of ERISA and a regulation promulgated by the U.S. Department of Labor, 29 C.F.R. Section 

2510.3-101 (collectively, the “Plan Asset Regulation”), describe what constitutes the assets of a Plan with 

respect to the Plan’s investment in an entity for purposes of certain provisions of ERISA, including the fiduciary 

responsibility provisions of Title I of ERISA, and Section 4975 of the Code. Under a “look through rule” set 

forth in the Plan Asset Regulation, if a Plan invests in an “equity interest” of an entity and no exception applies, 

the Plan’s assets are deemed to include both the equity interest and an undivided interest in each of the entity’s 

underlying assets. An equity interest does not include debt (as determined by applicable local law) which does 

not have substantial equity features. The Plan Asset Regulation provides, however, that if equity participation in 

214

any entity by “Benefit Plan Investors” is not significant then the “look through” rule will not apply to such 

entity. “Benefit Plan Investors” are defined in the Plan Asset Regulation to include (1) any employee benefit 

plan (as defined in Section 3(3) of ERISA), subject to the provisions of part 4 of subtitle B of Title I of ERISA, 

(2) any plan described in Section 4975(e)(1) of the Code, and (3) any entity whose underlying assets include 

“plan assets” by reason of any such employee benefit plan’s or plan’s investment in the entity, but only to the 

extent of the percentage of the equity interests in such entity that are held by Benefit Plan Investors. Equity 

participation by Benefit Plan Investors in an entity is significant if, immediately after the most recent acquisition 

of any equity interest in the entity, 25 per cent. or more of the value of any class of equity interests in the entity 

(excluding the value of any interests held by certain persons, other than Benefit Plan Investors, exercising 

discretionary authority or control over the assets of the entity or providing investment advice to the entity for a 

fee, direct or indirect (such as the Collateral Manager), or any affiliates of such persons (any such person, a 

“Controlling Person”)) is held by Benefit Plan Investors. 

Although there can be no assurances in this regard, based on the credit quality (as reflected by the credit 

rating assigned by the Rating Agencies) of the Senior Notes, Class B Notes, Class C Notes, and Class D Notes, 

the traditional debt characteristics of such Notes and the absence of rights to payment in excess of principal and 

stated interest under such Notes, the Issuer is initially treating such Notes as not being “equity interests” in the 

Issuer at the time of their issuance for purposes of the Plan Asset Regulation. The treatment of such Notes as 

not being “equity interest” in the Issuer for the purposes of the Plan Asset Regulation could, however, be 

affected, subsequent to their issuance, by certain changes in the structure or financial condition of the Issuer. 

There is a risk that the Class E Notes and Class N Notes (the “ERISA Restricted Notes”) would be likely to 

constitute “equity interests” in the Issuer for the purposes of the Plan Asset Regulation. There is little pertinent 

authority in this area. 

The Issuer intends to restrict ownership of the ERISA Restricted Notes so that no assets of the Issuer will be 

deemed to be “plan assets” subject to Title I of ERISA or Section 4975 of the Code. Accordingly, the Issuer 

intends to prohibit Plans from acquiring or holding any ERISA Restricted Note or any interest therein. 

However, there can be no assurance that at any time no Plan will hold an interest in an ERISA Restricted Note. 

If for any reason the assets of the Issuer are deemed to be “plan assets” of a Plan because one or more Plans is 

an owner of an ERISA Restricted Note and no exception under ERISA and the Plan Asset Regulation applies, 

certain transactions that the Issuer might enter into, or may have entered into, in the ordinary course of its 

business might be deemed to constitute direct or indirect non-exempt “prohibited transactions” under Section 

406 of ERISA or Section 4975 of the Code and might have to be rescinded. In addition, if the assets of the 

Issuer are deemed to be “plan assets” of a Plan subject to Title I of ERISA or Section 4975 of the Code, the 

payment of certain of the fees payable to the Collateral Manager might be considered to be a non-exempt 

“prohibited transaction” under Section 406 of ERISA or Section 4975 of the Code. Moreover, if the underlying 

assets of the Issuer were deemed to be assets constituting “plan assets” of a Plan, there are several provisions of 

ERISA that could be implicated if an ERISA Plan were to acquire and hold ERISA Restricted Notes either 

directly or by investing in an entity whose underlying assets are deemed to be assets of the ERISA Plan. It is 

not clear that the limitations of Section 403(a) of ERISA on the delegation of investment management 

responsibilities by fiduciaries of ERISA Plans would be satisfied. It is also not clear whether Section 404(b) of 

ERISA, which generally provides that no fiduciary may maintain the indicia of ownership of any assets of a plan 

outside the jurisdiction of the district courts of the United States, would be satisfied or any of the exceptions to 

this requirement set forth in 29 C.F.R. Section 2550.404b-1 would be available. 

EACH PURCHASER AND EACH TRANSFEREE OF A SENIOR NOTE, A CLASS B NOTE, A CLASS 

C NOTE OR A CLASS D NOTE OR ANY INTEREST THEREIN WILL BE DEEMED TO REPRESENT 

AND WARRANT (OR, IF REQUIRED BY THE TRUST DEED, A TRANSFEREE WILL BE REQUIRED 

TO CERTIFY) (1) EITHER THAT (A) IT IS NOT (AND FOR SO LONG AS IT HOLDS ANY NOTE OR 

INTEREST THEREIN WILL NOT BE), AND IS NOT ACTING ON BEHALF OF (AND FOR SO LONG AS 

IT HOLDS ANY SUCH NOTE OR INTEREST THEREIN WILL NOT BE) (I) A PLAN OR A 

GOVERNMENTAL, CHURCH OR NON-U.S. PLAN WHICH IS SUBJECT TO ANY FEDERAL, STATE, 

LOCAL OR NON-U.S. LAW THAT IS SIMILAR TO THE PROHIBITED TRANSACTION PROVISIONS 

OF SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE, OR (II) ANOTHER BENEFIT PLAN 

INVESTOR, AS DEFINED IN SECTION 3(42) OF ERISA, OR (B) ITS PURCHASE AND HOLDING OF 

SUCH NOTE DOES NOT AND WILL NOT RESULT IN A NON-EXEMPT PROHIBITED TRANSACTION 

UNDER SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE (OR, IN THE CASE OF A 

GOVERNMENTAL, CHURCH, OR NON-U.S. PLAN, A VIOLATION OF ANY SIMILAR FEDERAL, 

STATE, LOCAL OR NON- U.S. LAW); AND (2) IT AGREES NOT SELL OR OTHERWISE TRANSFER 

SUCH NOTES OR ANY INTEREST THEREIN OTHERWISE THAN TO A PURCHASER OR 

TRANSFEREE THAT IS DEEMED TO REPRESENT AND AGREE (OR, IF REQUIRED BY THE TRUST 

215

DEED, REQUIRED TO CERTIFY) WITH RESPECT TO ITS PURCHASE AND HOLDING OF SUCH 

NOTES TO THE SAME EFFECT AS THE PURCHASER’S REPRESENTATION AND AGREEMENT SET 

FORTH IN THIS SENTENCE. 

EACH PURCHASER AND EACH TRANSFEREE OF A CLASS E NOTE OR CLASS N NOTE (EACH 

AN “ERISA RESTRICTED NOTE”) WILL BE DEEMED OR REQUIRED IN WRITING, AS 

APPLICABLE, TO REPRESENT AND WARRANT THAT, DURING THE PERIOD IT HOLDS ANY 

INTEREST IN AN ERISA RESTRICTED NOTE, IT IS NOT AND IS NOT ACTING ON BEHALF OF (A) 

AN EMPLOYEE BENEFIT PLAN (AS DEFINED IN SECTION 3(3) OF ERISA) THAT IS SUBJECT TO 

TITLE I OF ERISA, (B) A PLAN (AS DEFINED IN SECTION 4975(E)(1) OF THE CODE) THAT IS 

SUBJECT TO SECTION 4975 OF THE CODE AND (C) ANY OTHER ENTITY, INCLUDING WITHOUT 

LIMITATION, AN INSURANCE COMPANY GENERAL ACCOUNT OR A WHOLLY-OWNED 

SUBSIDIARY THEREOF, WHOSE UNDERLYING ASSETS INCLUDE ASSETS OF THE PLANS 

DESCRIBED IN (A) OR (B) ABOVE BY REASON OF SUCH PLAN’S INVESTMENT IN THE ENTITY 

(EACH OF (A), (B) OR (C), A “PLAN”). NO PURCHASE BY OR TRANSFER TO A PLAN OF AN ERISA 

RESTRICTED NOTE WILL BE EFFECTIVE, AND NONE OF THE ISSUER, THE REGISTRAR, ANY 

TRANSFER AGENT OR THE TRUSTEE WILL RECOGNISE SUCH PURCHASE OR TRANSFER OF AN 

ERISA RESTRICTED NOTE. IN THE EVENT THAT THE ISSUER DETERMINES THAT ANY ERISA 

RESTRICTED NOTE IS HELD BY A PLAN, THE ISSUER MAY CAUSE A SALE OR TRANSFER OF 

SUCH NOTE. 

THE ISSUER, THE REGISTRAR, THE TRANSFER AGENT, THE TRUSTEE AND THE 

COLLATERAL MANAGER SHALL BE ENTITLED TO CONCLUSIVELY RELY UPON THE 

REPRESENTATIONS DISCUSSED HEREIN BY PURCHASERS OR TRANSFEREES OF ANY NOTES 

WITHOUT FURTHER INQUIRY. 

It should be noted that an insurance company’s general account may be deemed to include assets of Plans 

under certain circumstances, e.g., where a Plan purchases an annuity contract issued by such an insurance 

company, based on the reasoning of the United States Supreme Court in John Hancock Mutual Life Ins. Co. v. 

Harris Trust and Savings Bank, 510 U.S. 86 (1993). An insurance company considering the purchase of Notes 

with assets of its general account or a wholly-owned subsidiary thereof should consider such purchase and the 

insurance company’s ability to make the representations described above in light of John Hancock Mutual Life 

Ins. Co. v. Harris Trust and Savings Bank, Section 401(c) of ERISA and a regulation promulgated by the U.S. 

Department of Labor under that Section of ERISA, 29 C.F.R. §2550.401c-1. 

The sale of any Note to a Plan or a governmental, church or non-U.S. plan that is subject to federal, state, 

local or non-U.S. laws that are similar to the fiduciary responsibility provisions or prohibited transaction 

provisions of ERISA or Section 4975 of the Code is in no respect a representation by the Issuer, the Initial 

Purchaser, the Collateral Manager or any of their affiliates that such an investment meets all relevant legal 

requirements with respect to investments by such plans generally or any particular plan; that the prohibited 

transaction exemptions described above, or any other prohibited transaction exemption, would apply to such an 

investment by such plans in general or any particular plan; or that such an investment is appropriate for such 

plan generally or any particular plan. 

The discussion of ERISA and Section 4975 of the Code contained in this Prospectus, is, of necessity, 

general, and does not purport to be complete. Moreover, the provisions of ERISA and Section 4975 of the Code 

are subject to extensive and continuing administrative and judicial interpretation and review. Therefore, the 

matters discussed above may be affected by future regulations, rulings and court decisions, some of which may 

have retroactive application and effect. 

Any Plan or employee benefit plan not subject to ERISA or Section 4975 of the Code proposing to 

invest in the Notes should consult with its legal advisors concerning the consequences of the investment 

under ERISA, Section 4975 of the Code and any similar federal, state, local or non-U.S. law, including 

confirmation that the investment will not result in a prohibited transaction and will satisfy the other 

requirements of ERISA, Section 4975 of the Code and any other applicable law, prior to its purchase of 

the Notes. 

216

PLAN OF DISTRIBUTION AND TRANSFER RESTRICTIONS 

Dresdner Bank AG London Branch (in its capacity as initial purchaser, the “Initial Purchaser”), pursuant 

to a subscription and placement agreement dated on or about the Issue Date (the “Subscription and Placement 

Agreement”) agreed with the Issuer, subject to the satisfaction of certain conditions, (i) to either subscribe and 

pay for its own account or procure the purchase and payment by a third party for up to €75,000,000 principal 

amount of Class A1A Notes and (ii) to subscribe and pay for €75,000,000 principal amount of the Class A1B 

Notes, €48,800,000 principal amount of the Class A2 Notes, €24,130,000 principal amount of the Class B 

Notes, €21,900,000 principal amount of the Class C Notes, €22,020,000 principal amount of the Class D Notes, 

€10,780,000 principal amount of the Class E Notes and €32,800,000 principal amount of the Class N Notes, in 

each case, at the issue price of 100 per cent. (less subscription and underwriting fees to be agreed between the 

Issuer and Initial Purchaser). The Subscription and Placement Agreement entitles the Initial Purchaser to 

terminate it in certain circumstances prior to payment being made to the Issuer. 

In connection with the issue of the Notes, Dresdner Bank AG London Branch (the “Stabilising Manager”) 

(or persons acting on behalf of the Stabilising Manager) may over-allot Notes or effect transactions with a view 

to supporting the market price of the Notes at a level higher than that which might otherwise prevail. However, 

there is no assurance that the Stabilising Manager (or persons acting on behalf of the Stabilising Manager) will 

undertake stabilisation action. Any stabilisation action may begin on or after the date on which adequate public 

disclosure of the terms of the offer of the Notes is made and, if begun, may be ended at any time, but it must end 

no later than the earlier of 30 days after the Issue Date and 60 days after the date of the allotment of the Notes. 

Any stabilisation action or over-allotment shall be conducted by the Stabilising Manager (or persons acting on 

behalf of the Stabilising Manager) in accordance with all applicable laws and rules. No such stabilising shall 

take place in or from The Netherlands. 

It was a condition of the issuance of the Notes of each Class that the Notes of each other Class be issued in 

the following principal amounts: Class A1A Notes: Up to €75,000,000; Class A1B Notes: €75,000,000; Class 

A2 Notes: €48,800,000; Class B Notes: €24,130,000; Class C Notes: €21,900,000; Class D Notes: €22,020,000; 

Class E Notes: €10,780,000 and Class N Notes: €32,800,000. 

The Issuer has agreed to indemnify the Initial Purchaser against certain liabilities or to contribute to 

payments it may be required to make in respect thereof. 

Certain of the Collateral Debt Securities may have been originally underwritten or placed by the Initial 

Purchaser. In addition, the Initial Purchaser may have in the past performed and may in the future perform 

investment banking services or other services for issuers of the Collateral Debt Securities. In addition, the 

Initial Purchaser and its Affiliates may from time to time as a principal or through one or more investment funds 

that it or they manage, make investments in the equity securities of one or more of the issuers of the Collateral 

Debt Securities, with a result that one or more of such issuers may be or may become controlled by the Initial 

Purchaser or its Affiliates. 

No action has been or will be taken by the Issuer or the Initial Purchaser that would permit a public offering 

of the Notes or possession or distribution of this Prospectus or any other offering material in relation to the 

Notes in any jurisdiction where action for the purpose is required. No offers, sales or deliveries of any Notes, or 

distribution of this Prospectus or any other offering material relating to the Notes, may be made in or from any 

jurisdiction, except in circumstances which will result in compliance with any applicable laws and regulations 

thereof and will not impose any obligations on the Issuer or the Initial Purchaser. 

This Prospectus has been prepared by the Issuer for use in connection with the offer and sale of the Notes 

and for the Notes to be admitted to the Official List of the Irish Stock Exchange and trading on its regulated 

market. The Issuer and the Initial Purchaser reserve the right to reject any offer to purchase, in whole or in part, 

for any reason, or to sell less than the principal amount of Notes which may be offered. This Prospectus does 

not constitute an offer to any person in the United States or to any U.S. Person other than as described herein. 

Distribution of this Prospectus to any such U.S. Person or to any person within the United States, other than in 

accordance with the procedures described in this section, is unauthorised and any disclosure of any of its 

contents, without the prior written consent of the Issuer, is prohibited. 

The Initial Purchaser has also agreed to comply with the following selling restrictions and for the purposes 

of the following sections titled “United States”, “United Kingdom”, “France”, “Germany” and “Denmark”, 

references to Notes shall be to the Notes subscribed for by the Initial Purchaser pursuant to the Subscription and 

Placement Agreement. 

217

United States 

The Initial Purchaser has agreed that it will not offer, sell or deliver the Notes, (i) as part of their 

distribution at any time or (ii) otherwise until 40 days after the later of the commencement of the Offering and 

the Issue Date, within the United States or to, or for the account or benefit of, U.S. Persons, other than offers and 

sales pursuant to Rule 144A, and it will have sent to each dealer to which it sells Notes during such distribution 

compliance period a confirmation or other notice setting forth the restrictions on offers and sales of the Notes 

within the United States or to, or for the account or benefit of, U.S. Persons. 

In addition, until 40 days after the commencement of the offering, an offer or sale of the Notes within the 

United States by a dealer (whether or not participating in the offering) may violate the registration requirements 

of the Securities Act if such offer or sale is made otherwise than in accordance with Rule 144A. 

The Notes have not been and are not expected to be registered under the United States Securities Act of 

1933, as amended (the “Securities Act”), or the securities laws of any state of the United States. The Issuer has 

not registered and does not intend to register as an investment company under the United States Investment 

Company Act of 1940, as amended (the “Investment Company Act”) in reliance on the exclusion provided in 

Section 3(c)(7) thereof. 

The Notes were offered and are sold (1) within the United States to “qualified institutional buyers” as 

defined in Rule 144A who are “qualified purchasers” as defined in the Investment Company Act and (2) outside 

of the United States to persons who are neither U.S. Persons nor U.S. Residents purchasing in an “offshore 

transaction” (as defined in Regulation S). 

The Notes may not be reoffered, resold, pledged, exchanged or otherwise transferred except in transactions 

exempt from or not subject to the registration requirements of, the Securities Act and any other applicable 

securities laws. By its purchase of the Notes, each purchaser will be deemed to have (1) represented and 

warranted that (i) it is a “qualified institutional buyer” as defined in Rule 144A or (ii) it is a non-U.S. person 

located outside of the United States, and (2) agreed that it will only resell or otherwise transfer such Notes in 

accordance with the applicable restrictions set forth herein. See “Transfer Restrictions”. 

The Regulation S Notes (other than the Class A1A Notes) have been and will be issued in minimum 

denominations of €100,000 and integral multiples of €1,000 in excess thereof, as applicable. The Rule 144A 

Notes (other than the Class A1A Notes) have been and will be issued in minimum denominations of €500,000 

and integral multiples of €1,000 in excess thereof. The Class A1A Notes issued pursuant to Regulation S or 

Rule 144A have been and will be issued in minimum denominations of €1,000,000 or £500,000. Any offer or 

sale of Rule 144A Notes in reliance on Rule 144A will be made by broker dealers who are registered as such 

under the Exchange Act. 

United Kingdom 

The Initial Purchaser has represented, warranted and agreed that: 

(a) it has only communicated or caused to be communicated and will only communicate or cause to be 

communicated any invitation or inducement to engage in investment activity (within the meaning of 

section 21 of the Financial Services and Markets Act 2000 (the “FSMA”)) in connection with the issue 

or sale of any Notes in circumstances in which section 21(1) of the FSMA does not apply to the Issuer; 

and 

(b) it has complied and will comply with all applicable provisions of FSMA with respect to anything done 

by it in relation to the Notes in, from or otherwise involving the United Kingdom. 

France 

The Initial Purchaser and the Issuer has represented and agreed that: 

(a) they have not offered or sold and will not offer or sell, directly or indirectly, the Notes by way of a 

public offering in France (appel public à l’épargne, as defined in Articles L. 411-1, L. 411-2, D. 411-1 

and D. 411-2 of the French Code Monétaire et Financier); 

(b) they have not distributed or caused to be distributed and will not distribute or cause to be distributed to 

the public in France this Prospectus or any other offering material relating to the Notes, which is 

218

strictly confidential and is solely destined for persons or institutions to which it was initially supplied. 

This Prospectus does not constitute an offer or invitation to subscribe for or to purchase any securities 

and neither this Prospectus nor anything herein shall form the basis of any contract or commitment 

whatsoever; and 

(c) such offers, sales and distributions have been and shall only be made in France to (i) providers of 

investment services relating to portfolio management for the account of third parties, and/or (ii) 

qualified investors (investisseurs qualifiés) all acting for their own account, as defined in, and in 

accordance with, articles L.411-1, L.411-2 and D.411-1 of the French Code Monétaire et Financier. 

This Prospectus has not been submitted to the French financial market authority (Autorité des Marchés 

Financiers) for approval and does not constitute an offer for sale or subscription of securities. Any contact with 

potential investors in France does not and will not constitute financial and banking solicitation (démarchage 

bancaire et financier) as defined in articles L. 341-1 et seq. of the French Code Monétaire et Financier. 

Germany 

The Notes may be qualified as a foreign investment fund subject to the German Investment Act 

(Investmentgesetz - “InvG”) of 15 December 2003, as amended. No authorisation from the German Federal 

Financial Supervisory Authority (Bundesanstalt für Finanzdienstleistungsaufsicht - “BaFin”) has been obtained 

in connection with the offering and distribution of the Notes in the Federal Republic of Germany. Accordingly, 

the Initial Purchaser has agreed that the Notes may not be publicly offered or distributed in or from the Federal 

Republic of Germany, and the Initial Purchaser has agreed that neither this Prospectus nor any other offering 

materials relating to any of the Notes may be publicly distributed in connection with any such offering or 

distribution. The Initial Purchaser has represented and agreed that (a) it has not prepared or published any 

selling prospectus (Verkaufsprospekt) within the meaning of the German Securities Prospectus Act 

(Wertpapierprospektgesetz – “WpPG”) as of 22 June 2005, effective as of 1 July 2005, as amended, to be 

approved by the BaFin and (b) it has not offered or sold or will not offer or sell or publicly promote or advertise 

in the Federal Republic of Germany other that in compliance with the private placement rules und the InvG, if 

applicable, and the WpPG, or any other laws and regulations applicable in the Federal Republic of Germany 

governing the issue, offering and sale of securities. This Prospectus is for the respective recipient only and may 

not in any way be forwarded to any other person or to the public in Germany. Any on-sale of the Notes is only 

permissible in accordance with the private placement rules under the InvG, if applicable, and the WpPG. Any 

use in this Prospectus of the terms “fund” or “investment”, or terms with similar meanings, should not be 

interpreted to imply that the BaFin has reviewed or given their approval to any information contained therein. 

The distribution of the Notes has not been notified and the Notes are not registered or authorised for public 

distribution in the Federal Republic of Germany. This Prospectus has not been filed or deposited with the 

German Federal Financial Supervisory Agency. 

Denmark 

This document and the Notes offered herein have not been filed with or approved by the Danish Financial 

Supervisory Authority or any other regulatory authority in the Kingdom of Denmark nor does this document 

constitute a prospectus or other promotional material for the public offering of the Notes in accordance with 

Danish law. Accordingly, the Notes offered herein may not be offered or sold, including any subsequent resale 

or other transfer of the Notes, directly or indirectly, in Denmark, nor may this document be marketed or 

distributed in Denmark except if it is in compliance with the Danish Securities Trading Act and any Executive 

Orders issued thereunder, including Executive Order No. 306 of 28 April 2005 and Executive Order No. 307 of 

28 April 2005 on the first public offer of certain securities, each as amended or replaced from time to time. 

Transfer Restrictions 

Because of the following restrictions, purchasers are advised to consult legal counsel prior to making 

any offer, resale, pledge or transfer of Notes. 

Investor Representations on Original Purchase. Each purchaser of Notes from the Initial Purchaser will be 

deemed to acknowledge, represent to and agree as follows: 

1. No Governmental Approval. The purchaser understands that the Notes have not been approved or 

disapproved by the SEC or any other governmental authority or agency of any jurisdiction, nor has the SEC 

219

or any other governmental authority or agency passed upon the accuracy or adequacy of this Prospectus. 

Any representation to the contrary is a criminal offence. 

2. Certification Upon Transfer. If required by the Trust Deed, the purchaser will, prior to any sale, pledge or 

other transfer by it of any Note (or any interest therein), obtain from the transferee and deliver to the Issuer 

and the Registrar a duly executed transferee certificate addressed to each of the Issuer and the Registrar in 

the form of the relevant exhibit attached to the Trust Deed and such other certificates and other information 

as the Issuer or the Registrar may reasonably require to confirm that the proposed transfer substantially 

complies with the transfer restrictions set forth in the Trust Deed and described herein. In addition, each 

investor that is a U.S. Person and acquiring an interest in a Global Note of any Class of Rated Notes or a 

Class N Global Note will be required to execute and deliver to the Issuer and the Trustee a letter in the form 

attached as an exhibit to the Trust Deed to the effect that such investor will not transfer such interest except 

in compliance with the transfer restrictions set forth in the Trust Deed (including the requirement set forth 

in such letter that any subsequent transferee execute and deliver such letter). 

3. Minimum Denominations: Form of Notes. The purchaser agrees that no Note (or any interest therein) may 

be sold, pledged or otherwise transferred in a denomination of less than the applicable Minimum 

Denomination set forth in the Trust Deed and described herein. 

4. Securities Law Limitations on Resale. The purchaser understands that the Notes have not been registered 

under the Securities Act and, therefore, cannot be offered or sold in the United States or to any U.S. Person 

(as defined in Rule 902(k) under the Securities Act) unless the Notes are registered under the Securities Act 

or unless an exemption from registration is available. Accordingly, the certificates representing the Notes 

bear a legend stating that such Notes have not been registered under the Securities Act and setting forth 

certain of the restrictions on transfer of the Notes described herein. The purchaser understands that the 

Issuer has no obligation to register any of the Notes under the Securities Act or to comply with the 

requirements for any exemption from the registration requirements of the Securities Act (other than in the 

case of the Rule 144A Notes to supply information specified in Rule 144A(d)(4) of the Securities Act as 

required by the Trust Deed). 

5. Rule 144A Notes. Each purchaser of Rule 144A Notes will be deemed to have represented and agreed as 

follows: 

(a) (i) it is a Qualified Institutional Buyer, (ii) it is acquiring such Notes for its own account or for the 

account of a Qualified Institutional Buyer; and (iii) it is acquiring such Notes in reliance on the 

exemption from registration under the Securities Act provided by Rule 144A thereunder; 

(b) it understands that (i) the Notes are being offered only in a transaction not involving any public 

offering in the United States within the meaning of the Securities Act and the Rule 144A Notes have 

not been and will not be registered under the Securities Act, (ii) the Issuer has not registered and will 

not register under the Investment Company Act and (iii) none of the Notes may be offered, sold, 

pledged or otherwise transferred to any Person except as set forth herein and in the Trust Deed; 

(c) it and each account with respect to which it exercises sole investment discretion (i) is a Qualified 

Purchaser, (ii) is not formed for the purpose of investment in the Notes, unless all of its beneficial 

owners are Qualified Purchasers, (iii) if it would be an investment company but for the exception in 

Section 3(c)(1) or Section 3(c)(7) of the Investment Company Act, has not invested more than 40 per 

cent. of its total assets in the Notes, (iv) is not a dealer referred to in paragraph (a)(1)(ii) of Rule 144A 

unless it owns and invests on a discretionary basis at least $25 million in securities of issuers that are 

not affiliated Persons of such dealer, (v) is not a plan referred to in paragraph (a)(1)(i)(D) or (E) of Rule 

144A or a trust fund referred to in paragraph (A)(1)(i)(F) of Rule 144A that holds the assets of such 

plan, unless investment decisions are made solely by the fiduciary, trustee or sponsor of such plan, (vi) 

is purchasing the Notes in at least a minimum denomination of the applicable Minimum Denomination 

set forth in the Trust Deed and (vii) will provide written notice of the foregoing and any other 

applicable transfer restrictions to any transferee; 

(d) it understands that (i) transfers in violation of the transfer restrictions herein will be of no force and 

effect, will be void ab initio, and will not operate to transfer any rights to the transferee, 

notwithstanding any instructions to the contrary to the Issuer, the Trustee or any intermediary and that 

(ii) if the Issuer determines that any beneficial owner or holder of Notes that is a U.S. Person is not a 

Qualified Institutional Buyer and a Qualified Purchaser, the Issuer will require that such beneficial 

220

owner or holder sell all of its right, title and interest in such Notes to a Person who is a Qualified 

Institutional Buyers and a Qualified Purchaser, with such sale to be effected within 30 days after notice 

of such sale requirement is given. If such sale is not effected within such 30 days, upon written 

direction from the Issuer or the Collateral Manager, the Registrar will be authorised to appoint an 

investment bank (without any liability to the Registrar) to conduct a commercially reasonable sale of 

such Notes to a Person who is a Qualified Institutional Buyer and a Qualified Purchaser and, pending 

transfer, no further payments will be made in respect of such Notes or any beneficial interest therein; 

(e) it shall not resell or otherwise transfer any of the Notes except (a) to the Issuer, (b) to a Person that is a 

Qualified Institutional Buyer and a Qualified Purchaser in a transaction meeting the requirements of 

Rule 144A under the Securities Act or (c) in an “offshore transaction” and not to, or for the account or 

benefit of, a U.S. Person or a U.S. Resident, in accordance with Regulation S under the Securities Act; 

and that no representation has been made as to the availability of any exemption under the Securities 

Act or the securities laws of any applicable jurisdiction; 

(f) 

if it is acquiring the Rule 144A Notes for the account of a Qualified Institutional Buyer and a Qualified 

Purchaser, it represents that it has sole investment discretion with respect to such account and that it has 

full power to make the foregoing acknowledgements, representations and agreements on behalf of such 

account; 

(g) it understands that the Rule 144A Notes offered in reliance on Rule 144A are represented by Rule 

144A Global Notes and that the beneficial interests therein may be held only through DTC, Euroclear 

and Clearstream, Luxembourg or one of their nominees, as applicable; and that the Rule 144A Notes 

may not at any time be held by, or on behalf of, U.S. Persons or U.S. Residents that are not Qualified 

Institutional Buyers and Qualified Purchasers; and 

(h) it is not purchasing the Rule 144A Notes with the intent or purpose of evading, either alone or in 

conjunction with any other Person, the provisions of the Investment Company Act. 

6. Regulation S Notes: Each purchaser of Regulation S Notes will be deemed to have represented and agreed 

as follows: 

(a) it is, and the person, if any, for whose account it is acquiring the Notes is, located outside the United 

States and is neither a U.S. Person nor a U.S. Resident and is purchasing for its own account or one or 

more accounts, each of which is neither a U.S. Person nor a U.S. Resident in an offshore transaction in 

accordance with Regulation S, and is aware that the sale of the Notes to it is being made in reliance on 

the exemption from registration provided by Regulation S; and 

(b) it understands that the Notes are being offered in a transaction not involving any public offering in the 

United States within the meaning of the Securities Act and have not been and will not be registered 

under the Securities Act and that the Issuer has not registered and will not register under the Investment 

Company Act. It agrees, for the benefit of the Issuer, the Initial Purchaser and any of their affiliates 

that, if it decides to resell, pledge or otherwise transfer such Notes (or any beneficial interest or 

participation therein) purchased by it, any offer, sale or transfer of such Notes (or any beneficial 

interest or participation therein) will be made in compliance with the Securities Act, the conditions set 

forth herein and in the Trust Deed and only (i) to a Qualified Purchaser it reasonably believes is a 

Qualified Institutional Buyer purchasing for its own account or for the account of a Qualified 

Institutional Buyer and a Qualified Purchaser in a transaction that meets the requirements of Rule 

144A; or (ii) to a person who is neither a U.S. Person nor a U.S. Resident in an offshore transaction in 

accordance with Rule 903 or Rule 904 under Regulation S. 

7. Purchaser Sophistication; Non-Reliance, Suitability; Access to Information. The purchaser (a) has such 

knowledge and experience in financial and business matters that the purchaser is capable of evaluating the 

merits and risks (including for tax, legal, regulatory, accounting and other financial purposes) of its 

prospective investment in the Notes, (b) is financially able to bear such risk, (c) in making such investment 

is not relying on the advice or recommendations of the Initial Purchaser, the Issuer, the Collateral Manager 

or any of their respective affiliates (or any representative of any of the foregoing) and (d) has determined 

that an investment in the Notes is suitable and appropriate for it. The purchaser has received, and has had 

an adequate opportunity to review the contents of, the final Prospectus. The purchaser has had access to 

such financial and other information concerning the Issuer and the Notes as it has deemed necessary to 

make its own independent decision to purchase Notes, including the opportunity, at a reasonable time prior 

221

to its purchase of Notes, to ask questions and receive answers concerning the Issuer and the terms and 

conditions of the offering of the Notes. 

8. Limited Liquidity. The purchaser understands that there is no market for Notes and that no assurance can be 

given as to the liquidity of any trading market for Notes and that it is unlikely that a trading market for any 

of the Notes will develop. The purchaser further understands that, although the Initial Purchaser may from 

time to time make a market in Notes, the Initial Purchaser are under no obligation to do so and, following 

the commencement of any market making, may discontinue the same at any time. Accordingly, the 

purchaser must be prepared to hold Notes for an indefinite period of time or until their maturity. 

9. Withholding Certification. The purchaser understands that each of the Issuer, the Trustee or any Paying 

Agent shall require certification acceptable to it (i) as a condition to the payment of principal of and interest 

on any Notes without, or at a reduced rate of, U.S. withholding or backup withholding tax, and (ii) to enable 

each of the Issuer, the Trustee and any Paying Agent to determine their duties and liabilities with respect to 

any taxes or other charges that they may be required to pay, deduct or withhold from payments in respect of 

such Notes or the Holder of such Notes under any present or future law or regulation of The Netherlands or 

the United States or any present or future law or regulation of any political subdivision thereof or taxing 

authority therein or to comply with any reporting or other requirements under any such law or regulation. 

Such certification may include U.S. federal income tax forms (such as IRS Form W-8BEN (Certification of 

Foreign Status of Beneficial Owner), IRS Form W-8IMY (Certification of Foreign Intermediary Status), 

IRS Form W-9 (Request for Taxpayer Identification Number and Certification), or IRS Form W-8ECI 

(Certification of Foreign Person’s Claim for Exemption from Withholding on Income Effectively 

Connected with Conduct of a U.S. Trade or Business) or any successors to such IRS forms). In addition, 

each of the Issuer, the Trustee or any Paying Agent may require certification acceptable to it to enable the 

Issuer to qualify for a reduced rate of withholding in any jurisdiction from or through which the Issuer 

receives payments on its assets. Each purchaser agrees to provide any certification requested pursuant to 

this paragraph and to update or replace such form or certification in accordance with its terms or its 

subsequent amendments. 

10. Tax Treatment. The purchaser hereby agrees that, for purposes of U.S. federal, state and local income and 

franchise tax and any other income taxes, it will treat (i) the Issuer as a corporation, (ii) the Class A Notes, 

the Class B Notes, the Class C Notes, the Class D Notes, and the Class E Notes as indebtedness of the 

Issuer, and (iii) the Class N Notes as equity in the Issuer, and will take no action inconsistent with such 

treatment, unless required by law; it agrees to such treatment and agrees to take no action inconsistent with 

such treatment, unless required by law. 

11. The purchaser, if not a “United States person” (as defined in Section 7701(a)(30) of the Code), either: (A) 

is not a bank (within the meaning of Section 881(c)(3)(A) of the Code); (B) if such purchaser is a bank 

(within the meaning of Section 881(c)(3)(A) of the Code), after giving effect to its purchase of Notes, the 

purchaser (x) will not own more than 50 per cent. of the Class N Notes (by number) or 50 per cent. by value 

of the aggregate of all classes of notes that are treated as equity for US federal income tax purposes either 

directly or indirectly, and will not otherwise be related to the Issuer (within the meaning of section 267(b) 

of the Code) and (y) has not purchased the Notes in whole or in part to avoid any U.S. federal tax liability 

(including, without limitation, any U.S. withholding tax that would be imposed on the Notes with respect to 

the Collateral Debt Obligations if held directly by the purchaser); (C) has provided an IRS Form W-8ECI 

representing that all payments received or to be received by it from the Issuer are effectively connected with 

the conduct of a trade or business in the United States, or (D) is eligible for benefits under an income tax 

treaty with the United States that eliminates U.S. federal income taxation of U.S. source interest not 

attributable to a permanent establishment in the United States and the Issuer is treated as a fiscally 

transparent entity (as defined in Treasury regulations section 1.894-1(d)(3)(iii)) under the laws of 

purchaser’s jurisdiction with respect to payments made on the Collateral Debt Obligations held by the 

Issuer. 

12. ERISA. In the case of each purchaser of any Senior Note, Class B Note, Class C Note or Class D Note (or 

any interest therein), (1) either (i) it is not (and for so long as it holds any such Note or interest therein will 

not be), and is not acting on behalf of (and for so long as it holds any such Note or interest therein will not 

be acting on behalf of), (a) an employee benefit plan within the meaning of Section 3(3) of ERISA, a plan 

within the meaning of Section 4975(e)(l) of the Code, an entity which is deemed to hold the assets of any 

such plan pursuant to Section 3(42) of ERISA and the U.S. Department of Labor Regulations at 29 C.F.R. 

§2510.3-101 (collectively, the “Plan Asset Regulation”), which plan or entity is subject to Title I of 

ERISA or Section 4975 of the Code, or a governmental, church or non-U.S. plan which is subject to any 

222

federal, state, local or non-U.S. law that is similar to the prohibited transaction provisions of Section 406 of 

ERISA or Section 4975 of the Code or (b) another “benefit plan investor”, as defined in the Plan Asset 

Regulation or (ii) its purchase and holding of any such Note (or interest therein) does not and will not result 

in a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code (or, in the 

case of a governmental, church, or non-U.S. plan, a violation of any similar federal, State, local or non-U.S. 

law); and (2) it agrees not to sell or otherwise transfer any interest in such Notes otherwise than to a 

purchaser or transferee that is deemed (or if required by the Trust Deed, certified) to make theses same 

representations, warranties and agreements with respect to its purchase and holding of such Notes. 

In the case of a purchaser of a Class E Note or Class N Note (each an “ERISA Restricted Note”) or any 

interest therein, (A) (i) the purchaser will be deemed or required in writing, as applicable, to represent and 

warrant that, during the period it holds any interest in an ERISA Restricted Note, it is not and is not acting 

on behalf of (a) an employee benefit plan (as defined in Section 3(3) of ERISA) that is subject to Title I of 

ERISA, (b) a plan (as defined in Section 4975(e)(1) of the Code) that is subject to Section 4975 of the Code 

and (c) any other entity, including without limitation, an insurance company general account, whose 

underlying assets include assets of the plans described in (a) or (b) above by reason of such plan’s 

investment in the entity (each of (a), (b) or (c), a “Plan”) and (ii) the purchaser understands and agrees that 

no purchase by or transfer to a Plan of such Note (or any interest therein) will be effective, and none of the 

Issuer, the Registrar, any Transfer Agent or the Trustee will recognise any such purchase or transfer; and 

(B) the purchaser agrees not to sell or otherwise transfer any interest in an ERISA Restricted Note 

otherwise than to a purchaser or transferee that makes these same certifications and agreements with respect 

to its purchase and holding of such Notes. 

13. Reliance on Representations, etc. The purchaser acknowledges that the Issuer, the Initial Purchaser, the 

Registrar and others will rely upon the truth and accuracy of the foregoing acknowledgments, 

representations and agreements and agrees that, if any of the acknowledgments, representations or 

warranties made or deemed to have been made by it in connection with its purchase of Notes are no longer 

accurate, the purchaser will promptly notify the Issuer and the Registrar. 

14. Legend for Notes. The purchaser understands and agrees that a legend in substantially the following form 

will be placed on each certificate representing any Notes: 

THE ISSUER OF THIS NOTE HAS NOT BEEN REGISTERED UNDER THE UNITED STATES 

INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE “INVESTMENT COMPANY 

ACT”), AND THIS NOTE HAS NOT BEEN AND WILL NOT BE REGISTERED UNDER THE 

UNITED STATES SECURITIES ACT OF 1933, AS AMENDED (THE “SECURITIES ACT”), UNDER 

ANY STATE SECURITIES OR “BLUE SKY” LAWS, OR WITH ANY SECURITIES REGULATORY 

AUTHORITY OF ANY STATE OR OTHER JURISDICTION. 

EACH PERSON ACQUIRING AN INTEREST IN THIS NOTE IS DEEMED TO (1) REPRESENT 

THAT (A) IT IS A “QUALIFIED INSTITUTIONAL BUYER” (AS DEFINED IN RULE 144A UNDER 

THE SECURITIES ACT (“RULE 144A”)) AND THAT IS ALSO A “QUALIFIED PURCHASER” 

(FOR PURPOSES OF THE INVESTMENT COMPANY ACT) (A “QUALIFIED PURCHASER”) OR 

(B) IT IS NOT A “U.S. PERSON” (AS DEFINED IN REGULATION S UNDER THE SECURITIES 

ACT) (A “U.S. PERSON”) OR A “U.S. RESIDENT” (AS DETERMINED FOR PURPOSES OF THE 

INVESTMENT COMPANY ACT) (A “U.S. RESIDENT”) AND IS ACQUIRING SUCH INTEREST IN 

AN “OFFSHORE TRANSACTION” PURSUANT TO RULE 903 OR RULE 904 OF REGULATION S 

UNDER THE SECURITIES ACT (AN “OFFSHORE TRANSACTION”); (2) REPRESENT THAT IT 

UNDERSTANDS THAT THE ISSUER OF THIS NOTE MAY RECEIVE A LIST OF PARTICIPANTS 

HOLDING POSITIONS IN ITS SECURITIES FROM ONE OR MORE BOOK-ENTRY DEPOSITORIES; 

AND (3) AGREE THAT IT WILL NOT OFFER, SELL OR OTHERWISE TRANSFER SUCH 

INTEREST EXCEPT IN AT LEAST A MINIMUM DENOMINATION OF €100,000/500,000/200,000 

AND (A) TO THE ISSUER; (B) IN ACCORDANCE WITH RULE 144A TO A QUALIFIED 

PURCHASER THAT THE SELLER REASONABLY BELIEVES IS A QUALIFIED INSTITUTIONAL 

BUYER THAT (I) IS NOT FORMED FOR THE PURPOSE OF INVESTMENT IN THIS NOTE, 

UNLESS ALL OF ITS BENEFICIAL OWNERS ARE QUALIFIED PURCHASERS, (II) IS NOT A 

DEALER REFERRED TO IN PARAGRAPH (a)(1)(ii) OF RULE 144A UNLESS IT OWNS AND 

INVESTS ON A DISCRETIONARY BASIS AT LEAST U.S. $25 MILLION IN SECURITIES OF 

ISSUERS THAT ARE NOT AFFILIATED PERSONS OF SUCH DEALER, (III) IS NOT A PLAN 

REFERRED TO IN PARAGRAPH (a)(1)(i)(D) OR (E) OF RULE 144A OR A TRUST FUND 

REFERRED TO IN PARAGRAPH (a)(1)(i)(F) OF RULE 144A THAT HOLDS THE ASSETS OF SUCH 

223

PLAN, UNLESS INVESTMENT DECISIONS ARE MADE SOLELY BY THE FIDUCIARY, TRUSTEE 

OR SPONSOR OF SUCH PLAN, (IV) IS PURCHASING THIS NOTE FOR ITS OWN ACCOUNT OR 

FOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER THAT IS ALSO A QUALIFIED 

PURCHASER AND (V) WILL PROVIDE WRITTEN NOTICE OF THE FOREGOING AND ANY 

OTHER APPLICABLE TRANSFER RESTRICTIONS TO ANY TRANSFEREE; OR (C) IN AN 

OFFSHORE TRANSACTION AND NOT TO, OR FOR THE ACCOUNT OR BENEFIT OF, A U.S. 

PERSON OR A U.S. RESIDENT, IN ACCORDANCE WITH REGULATION S UNDER THE 

SECURITIES ACT. 

ANY PROHIBITED TRANSFER IN VIOLATION OF THE FOREGOING WILL BE OF NO FORCE OR 

EFFECT, WILL BE VOID AB INITIO, AND WILL NOT OPERATE TO TRANSFER ANY RIGHTS TO 

THE TRANSFEREE, NOTWITHSTANDING ANY INSTRUCTIONS TO THE CONTRARY TO THE 

ISSUER OF THIS NOTE, THE TRUSTEE OR ANY INTERMEDIARY. IF THE ISSUER DETERMINES 

THAT ANY BENEFICIAL OWNER OR HOLDER OF AN INTEREST IN THIS NOTE THAT IS A U.S. 

PERSON IS NOT A QUALIFIED INSTITUTIONAL BUYER AND A QUALIFIED PURCHASER, THE 

ISSUER WILL REQUIRE THAT SUCH BENEFICIAL OWNER OR HOLDER SELL ALL OF ITS 

RIGHT, TITLE AND INTEREST IN THIS NOTE TO A PERSON WHO IS A QUALIFIED 

INSTITUTIONAL BUYER AND A QUALIFIED PURCHASER, WITH SUCH SALE TO BE 

EFFECTED WITHIN 30 DAYS AFTER NOTICE OF SUCH SALE REQUIREMENT IS GIVEN. IF 

SUCH SALE IS NOT EFFECTED WITHIN SUCH 30 DAYS, UPON WRITTEN DIRECTION FROM 

THE ISSUER OR THE COLLATERAL MANAGER, THE REGISTRAR WILL BE AUTHORISED TO 

APPOINT AN INVESTMENT BANK (WITHOUT ANY LIABILITY TO THE REGISTRAR) TO 

CONDUCT A COMMERCIALLY REASONABLE SALE OF SUCH NOTES TO A PERSON WHO IS A 

QUALIFIED INSTITUTIONAL BUYER AND A QUALIFIED PURCHASER AND, PENDING 

TRANSFER, NO FURTHER PAYMENTS WILL BE MADE IN RESPECT OF SUCH NOTES OR ANY 

BENEFICIAL INTEREST THEREIN. 

THIS NOTE MAY NOT BE OFFERED, SOLD, PLEDGED OR OTHERWISE TRANSFERRED TO AN 

EMPLOYEE BENEFIT PLAN SUBJECT TO THE UNITED STATES EMPLOYEE RETIREMENT 

INCOME SECURITY ACT OF 1974, AS AMENDED (“ERISA”), A PLAN WITHIN THE MEANING 

OF SECTION 4975 OF THE UNITED STATES INTERNAL REVENUE CODE OF 1986, AS 

AMENDED (“CODE”), OR ANY OTHER EMPLOYEE BENEFIT PLAN SUBJECT TO SIMILAR LAW 

OR AN ENTITY THE UNDERLYING ASSETS OF WHICH ARE CONSIDERED TO INCLUDE THE 

ASSETS OF SUCH PLANS IF THE ACQUISITION, HOLDING OR DISPOSITION OF THE NOTE 

WILL CONSTITUTE OR RESULT IN A NON-EXEMPT PROHIBITED TRANSACTION UNDER 

SUCH LAWS. 

EACH HOLDER OF A SENIOR NOTE, A CLASS B NOTE, A CLASS C NOTE OR A CLASS D NOTE, 

BY ACCEPTING THIS NOTE (OR AN INTEREST IN THE NOTES REPRESENTED HEREBY) IS 

DEEMED TO REPRESENT AND WARRANT EITHER (I) (A) IT IS NOT (AND FOR SO LONG AS IT 

HOLDS THIS NOTE OR AN INTEREST HEREIN WILL NOT BE), AND IS NOT ACTING ON 

BEHALF OF (AND FOR SO LONG AS IT HOLDS THIS NOTE OR AN INTEREST HEREIN WILL 

NOT BE ACTING ON BEHALF OF) AN EMPLOYEE BENEFIT PLAN AS DEFINED IN SECTION 

3(3) OF THE UNITED STATES EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS 

AMENDED (ERISA), A PLAN DESCRIBED IN SECTION 4975 (E) (1) OF THE UNITED STATES 

INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE CODE), OR AN ENTITY WHICH IS 

DEEMED TO HOLD THE ASSETS OF ANY SUCH EMPLOYEE BENEFIT PLAN OR PLAN 

PURSUANT TO SECTION 3(42) OF ERISA AND THE PLAN ASSET REGULATION, WHICH PLAN 

OR ENTITY IS SUBJECT TO TITLE I OF ERISA OR SECTION 4975 OF THE CODE, OR ANY 

OTHER BENEFIT PLAN INVESTOR (OR A GOVERNMENTAL, CHURCH OR NON-U.S. PLAN 

WHICH IS SUBJECT TO ANY FEDERAL, STATE, LOCAL OR NON-U.S. LAW THAT IS SIMILAR 

TO THE PROHIBITED TRANSACTION PROVISIONS OF SECTION 406 OF ERISA OR SECTION 

4975 OF THE CODE) OR (B) THE PURCHASE AND HOLDING OF THIS NOTE OR AN INTEREST 

HEREIN DO NOT AND WILL NOT RESULT IN A NON-EXEMPT PROHIBITED TRANSACTION 

UNDER SECTION 406 OF ERISA OR SECTION 4975 OF THE CODE (OR, IN THE CASE OF A 

GOVERNMENTAL, CHURCH OR NON-U.S. PLAN, A VIOLATION OF ANY SIMILAR FEDERAL, 

STATE, LOCAL OR NON-U.S. LAW); AND (II) IT WILL NOT SELL OR OTHERWISE TRANSFER 

SUCH NOTES OR ANY INTEREST THEREIN OTHERWISE THAN TO A PURCHASER OR 

TRANSFEREE THAT IS DEEMED (OR IF REQUIRED BY THE TRUST DEED, CERTIFIED) TO 

REPRESENT AND AGREE WITH RESPECT TO ITS PURCHASE AND HOLDING OF SUCH NOTES 

TO THE SAME EFFECT AS THE PURCHASER’S REPRESENTATION AND AGREEMENT SET 

224

FORTH IN THIS SENTENCE, PROVIDED THAT ANY SWAP TRANSACTION ENTERED INTO BY 

THE HOLDER OF THE NOTE SHALL NOT BE DEEMED A BREACH OF THIS REPRESENTATION. 

EACH HOLDER OF A CLASS E NOTE OR CLASS N NOTE (EACH, AN “ERISA RESTRICTED 

NOTE”) WILL BE DEEMED OR REQUIRED IN WRITING, AS APPLICABLE, TO REPRESENT AND 

WARRANT THAT, DURING THE PERIOD IT HOLDS ANY INTEREST IN AN ERISA RESTRICTED 

NOTE, IT IS NOT AND IS NOT ACTING ON BEHALF OF (A) AN EMPLOYEE BENEFIT PLAN (AS 

DEFINED IN SECTION 3(3) OF ERISA) THAT IS SUBJECT TO TITLE I OF ERISA, (B) A PLAN (AS 

DEFINED IN SECTION 4975(E)(1) OF THE CODE) THAT IS SUBJECT TO SECTION 4975 OF THE 

CODE AND (C) ANY OTHER ENTITY, INCLUDING WITHOUT LIMITATION, AN INSURANCE 

COMPANY GENERAL ACCOUNT, WHOSE UNDERLYING ASSETS INCLUDE ASSETS OF THE 

PLANS DESCRIBED IN (A) OR (B) ABOVE BY REASON OF SUCH PLAN’S INVESTMENT IN THE 

ENTITY (EACH OF (A), (B) OR (C), A “PLAN”). NO PURCHASE BY OR TRANSFER TO A PLAN 

OF AN ERISA RESTRICTED NOTE WILL BE EFFECTIVE, AND NONE OF THE ISSUER, THE 

REGISTRAR, ANY TRANSFER AGENT OR THE TRUSTEE WILL RECOGNISE SUCH PURCHASE 

OR TRANSFER OF AN ERISA RESTRICTED NOTE. IN THE EVENT THAT THE ISSUER 

DETERMINES THAT ANY ERISA RESTRICTED NOTE IS HELD BY A PLAN, THE ISSUER MAY 

CAUSE A SALE OR TRANSFER IN THE MANNER DESCRIBED IN THE PROSPECTUS. 

THE FOLLOWING INFORMATION IS PROVIDED PURSUANT TO UNITED STATES TREASURY 

REGULATION SECTION 1.1275-3(b). THE CLASS B NOTES, THE CLASS C NOTES, THE CLASS D 

NOTES, AND THE CLASS E NOTES HAVE BEEN ISSUED WITH ORIGINAL ISSUE DISCOUNT 

FOR UNITED STATES FEDERAL INCOME TAX PURPOSES. THE HOLDER OF ANY OF THESE 

NOTES MAY OBTAIN THE INFORMATION DESCRIBED IN UNITED STATES TREASURY 

REGULATION SECTION 1.1275-3(b)(1)(i) FROM THE LAW DEBENTURE TRUST CORPORATION 

P.L.C. AT FIFTH FLOOR, 100 WOOD STREET, LONDON EC2V 7EX. 

15. Investor Representations on Resale. Except as provided in the remainder of this paragraph, each transferee 

of a Note will be required to deliver to the Issuer, the Trustee and the Registrar a duly executed transferee 

certificate in the form of the relevant exhibit attached to the Trust Deed and such other certificates and other 

information as the Issuer, the Registrar, any Transfer Agent or the Trustee may reasonably require to 

confirm that the proposed transfer complies with the transfer restrictions contained in this Prospectus. An 

owner of a beneficial interest in a Regulation S Global Note may transfer such interest in the form of a 

beneficial interest in such Regulation S Global Note without the provision of written certification, provided 

that prior to the expiration of the Distribution Compliance Period such transfer is not made to a U.S. Person 

or for the account or benefit of a U.S. Person and is effected through Euroclear or Clearstream, 

Luxembourg in an offshore transaction as required by Regulation S and only in accordance with the 

procedures of Euroclear, Clearstream, Luxembourg and DTC, as applicable. An owner of a beneficial 

interest in a Rule 144A Global Note may transfer such interest in the form of a beneficial interest in such 

Rule 144A Global Note without the provision of written certification. 

Pursuant to such transferee certificate, (a) the transferee will acknowledge, represent to and agree with the 

Issuer, the Trustee and the Registrar as to the matters set forth in each of paragraphs (1) through (12) above 

as if each reference therein to “the purchaser” were instead a reference to the transferee. 

16. Class A1A Notes. Any purchaser of Class A1A Notes understands that the transfer of the Class A1A Notes 

is subject to certain restrictions which are more particularly described in the Class A1A Note Purchase 

Agreement. 

225

GENERAL INFORMATION 

1. Clearing Systems 

The Notes of each Class (other than the Class A1A Notes) have been accepted for clearance through DTC, 

Euroclear and Clearstream, Luxembourg. The CUSIP, Common Code and International Securities 

Identification Number (“ISIN”) for each such Class of Notes are as follows: 

Regulation S 

ISIN 

Regulation S 

Common Code 

Regulation S 

CUSIP 

Rule 144A 

CUSIP Rule 144A ISIN 

Rule 144A 

Common 

Code 

Class A1B Notes XS0300109146 30010914 N37081 AB7 39772R AB0 US39772RAB06 30551826 

Class A2 Notes XS0300109658 30010965 N37081 AC5 39772R AC8 US39772RAC88 30552091 

Class B Notes XS0300110078 30011007 N37081 AD3 39772R AD6 US39772RAD61 30552245 

Class C Notes XS0300111639 30011163 N37081 AE1 39772R AE4 US39772RAE45 30552318 

Class D Notes XS0300112017 30011201 N37081 AF8 39772R AF1 US39772RAF10 30552423 

Class E Notes XS0300112363 30011236 N37081 AG6 39772R AG9 US39772RAG92 30552539 

Class N Notes XS0300112447 30011244 N37081 AH4 39772R AH7 US39772RAH75 30552644 

2. Listing 

Application has been made to the Irish Financial Services Regulatory Authority, as competent authority 

under Directive 2003/71/EC, for the prospectus to be approved. Application has been made to the Irish Stock 

Exchange for the Notes to be admitted to the Official List and trading on its regulated market. The Irish Stock 

Exchange is a regulated market for the purposes of Directive 93/22/EEC. It is estimated that the total expenses 

related to the admission to trading are likely to be approximately €21,032. NCB Stockbrokers Limited is acting 

solely in its capacity as listing agent for the Issuer in connection with the Notes and is not itself seeking 

admission of the Notes to the Official List of the Irish Stock Exchange or to trading on the Irish Stock Exchange 

for the purposes of Directive 2003/71/EC. 

3. Consents and Authorisations 

The Issuer has obtained all necessary consents, approvals and authorisations in The Netherlands (if any) in 

connection with the issue and performance of the Notes. The issue of the Notes was authorised by a resolution 

of the board of Managing Directors of the Issuer passed on 29 June 2007. 

4. No Material Change 

There has been no material adverse change in the financial position or prospects of the Issuer since its 

incorporation. 

5. No Litigation 

The Issuer is not involved, and has not been involved, in any legal or arbitration proceedings or 

governmental proceedings (including any such proceedings which are pending or threatened of which the Issuer 

is aware) which may have or have had since the date of its incorporation a significant effect on the Issuer’s 

financial position. 

6. Accounts 

So long as any Note remains Outstanding, copies of the most recent annual financial statements of the 

Issuer, if published, can be obtained at the specified offices of the Registrar and the other Transfer Agents 

during normal business hours. The first financial year of the Issuer will end on 31 December 2008. The first 

financial statements of the Issuer will be in respect of the period from formation to 31 December 2008. The 

Issuer will not prepare interim financial statements unless required to do so under applicable law. 

7. Documents Available 

Copies of the following documents together with any amendments and supplements thereto may be 

inspected (and, in the case of (j) and (k) below, will be available free of charge) at the registered offices of the 

Issuer and the specified offices of the Irish Paying Agent in electronic form during usual business hours on any 

weekday (Saturdays, Sundays and public holidays excepted) for the life of the Prospectus: 

(a) Articles of Association of the Issuer; 

226

(b) Subscription and Placement Agreement; 

(c) Trust Deed (which includes the form of each Note of each Class); 

(d) Collateral Management Agreement; 

(e) Class A1A Note Purchase Agreement; 

(f) 

Agency Agreement; 

(g) Collateral Administration Agreement; 

(h) Management Agreement; 

(i) 

(j) 

each Hedge Agreement; 

each Monthly Report; 

(k) each Noteholder Valuation Report; 

(l) 

Bank Account Agreement; 

(m) Liquidity Facility Agreement; and 

(n) Euroclear Pledge Agreement. 

227

INDEX OF DEFINED TERMS 

£ 

£..........................................................................8 

€ 

€..........................................................................8 

A 

Account Bank.................................................... 50 

Accounts ........................................................... 51 

Accrued Euro Collateral Interest Amount........... 52 

Accrued Sterling Collateral Interest 

Amount............................................................ 52 

Additional Collateral Account............................ 52 

Additional Collateral Debt Security.................... 52 

Additional Reinvestment Criteria ............... 52, 163 

Additional Security Document ........................... 52 

Additional Security Documents.......................... 52 

Adjustment Amount........................................... 52 

Administrative Expenses.................................... 52 

Affected Party ............................................. 74, 92 

Affiliate............................................................. 53 

Affiliated........................................................... 53 

Agency Agreement ............................................ 50 

Agent ................................................................ 53 

Agents............................................................... 53 

Aggregate Sterling Limit.................................. 155 

Applicable EURIBOR ....................................... 53 

Arranger ..............................................................3 

Articles............................................................ 144 

Asset Swap Transaction ..................................... 53 

Asset Swap Transaction Exchange Rate ............. 53 

Assumed Profits .............................................. 209 

Authorised Denomination .................................. 53 

Authorised Officer............................................. 53 

Average Life.................................................... 169 

B 

BaFin .......................................................... 6, 219 

Bank Account Agreement .................................. 51 

Bank Loan ......................................................... 53 

Base Collateral Management Fee ....................... 54 

Basic Terms Modification.......................... 54, 128 

Beneficial Owner............................................. 139 

Benefit Plan Investors ...................................... 215 

Blue Sky.......................................................... 223 

Break Costs ....................................................... 54 

Business Day............................................... 54, 96 

C 

Capital Commitment Register ............................ 54 

Capital Commitment Registrar........................... 50 

Capital Commitment Registrar Fees ................... 54 

cause ............................................................... 179 

CCC Security ...............................................54, 67 

CDO ............................................................... 208 

CDO Evaluator.........................................143, 171 

CDO Evaluator Test ........................................ 170 

CFC ................................................................ 204 

Class ........................................................2, 11, 54 

Class A Break Even Loss Rate......................... 170 

Class A Loss Differential................................. 170 

Class A Notes..................................... 2, 11, 50, 54 

Class A Scenario Loss Rate ............................. 170 

Class A1A Aggregate Interest Amount .............. 54 

Class A1A Day Count Fraction.......................... 54 

Class A1A Definitive Notes............................... 55 

Class A1A EURIBOR ....................................... 55 

Class A1A Euro Rate of Interest .................55, 190 

Class A1A Increased Margin ......................55, 190 

Class A1A Interest Amount ................ 55, 116, 190 

Class A1A LIBOR............................................. 55 

Class A1A Margin......................................56, 190 

Class A1A Note Purchase Agreement ................ 51 

Class A1A Noteholders ..................................... 56 

Class A1A Notes ................................ 2, 10, 50, 56 

Class A1A Notes Interest Period........................ 56 

Class A1A Reference Bank................................ 56 

Class A1A Regulation S Definitive Notes .......... 56 

Class A1A Rule 144A Definitive Notes ............. 56 

Class A1A Sterling Rate of Interest.............56, 190 

Class A1B Definitive Notes ............................... 56 

Class A1B Further Issue Notes ...................56, 131 

Class A1B Global Notes.................................... 56 

Class A1B Margin......................................56, 114 

Class A1B Note Interest Rate................ 14, 56, 112 

Class A1B Noteholders...................................... 56 

Class A1B Notes ................................ 2, 11, 50, 56 

Class A1B Refinancing Noteholders .................. 57 

Class A1B Refinancing Notes............... 13, 57, 130 

Class A1B Regulation S Definitive Notes .......... 57 

Class A1B Regulation S Global Note................. 57 

Class A1B Regulation S Notes........................... 57 

Class A1B Rule 144A Definitive Notes.............. 57 

Class A1B Rule 144A Global Note .................... 57 

Class A1B Rule 144A Notes.............................. 57 

Class A2 Definitive Notes ................................. 57 

Class A2 Further Issue Notes ......................57, 131 

Class A2 Global Notes....................................... 57 

Class A2 Margin ........................................57, 114 

Class A2 Note Interest Rate.................. 14, 57, 112 

Class A2 Noteholders ........................................ 57 

Class A2 Notes................................... 2, 11, 50, 57 

Class A2 Regulation S Definitive Notes............. 57 

Class A2 Regulation S Global Note ................... 58 

Class A2 Regulation S Notes ............................. 58 

Class A2 Rule 144A Definitive Notes................ 58 

Class A2 Rule 144A Global Note....................... 58 

Class A2 Rule 144A Notes ................................ 58 

Class A-E Notes ................................................ 47 

Class B Break Even Loss Rate......................... 170 

Class B Deferred Interest............................58, 111 

228

Class B Definitive Notes.................................... 58 

Class B Further Issue Notes ....................... 58, 131 

Class B Global Notes......................................... 58 

Class B Loss Differential ................................. 171 

Class B Margin.......................................... 58, 114 

Class B Note Interest Rate ....................14, 58, 112 

Class B Noteholders .......................................... 58 

Class B Notes .....................................2, 11, 50, 58 

Class B Overcollateralisation Ratio.................... 58 

Class B Overcollateralisation Ratio Test..... 58, 173 

Class B Regulation S Definitive Notes ............... 58 

Class B Regulation S Global Note...................... 59 

Class B Regulation S Notes................................ 59 

Class B Rule 144A Definitive Notes .................. 59 

Class B Rule 144A Global Note......................... 59 

Class B Rule 144A Notes................................... 59 

Class B Scenario Loss Rate.............................. 171 

Class C Break Even Loss Rate ......................... 171 

Class C Deferred Interest ........................... 59, 112 

Class C Definitive Notes.................................... 59 

Class C Further Issue Notes ....................... 59, 131 

Class C Global Notes......................................... 59 

Class C Loss Differential ................................. 171 

Class C Margin.......................................... 59, 114 

Class C Note Interest Rate ....................14, 59, 112 

Class C Noteholders .......................................... 59 

Class C Notes .....................................2, 11, 50, 59 

Class C Overcollateralisation Ratio.................... 59 

Class C Overcollateralisation Ratio Test..... 59, 173 

Class C Regulation S Definitive Notes ............... 59 

Class C Regulation S Global Note...................... 59 

Class C Regulation S Notes................................ 59 

Class C Rule 144A Definitive Notes .................. 60 

Class C Rule 144A Global Note......................... 60 

Class C Rule 144A Notes................................... 60 

Class C Scenario Loss Rate.............................. 171 

Class D Break Even Loss Rate......................... 171 

Class D Deferred Interest ........................... 60, 112 

Class D Definitive Notes.................................... 60 

Class D Further Issue Notes ....................... 60, 131 

Class D Global Notes......................................... 60 

Class D Loss Differential................................. 171 

Class D Margin.......................................... 60, 114 

Class D Note Interest Rate ....................14, 60, 112 

Class D Noteholders .......................................... 60 

Class D Notes.....................................2, 11, 50, 60 

Class D Overcollateralisation Ratio.................... 60 

Class D Overcollateralisation Ratio Test .... 60, 173 

Class D Regulation S Definitive Notes............... 60 

Class D Regulation S Global Note...................... 60 

Class D Regulation S Notes ............................... 60 

Class D Rule 144A Definitive Notes .................. 60 

Class D Rule 144A Global Note......................... 61 

Class D Rule 144A Notes................................... 61 

Class D Scenario Loss Rate.............................. 171 

Class E Break Even Loss Rate ......................... 171 

Class E Deferred Interest ........................... 61, 112 

Class E Definitive Notes .................................... 61 

Class E Further Issue Notes........................ 61, 131 

Class E Global Notes ......................................... 61 

Class E Loss Differential ................................. 171 

Class E Margin...........................................61, 114 

Class E Note Interest Rate .................... 14, 61, 112 

Class E Noteholders .......................................... 61 

Class E Notes ..................................... 2, 11, 50, 61 

Class E Overcollateralisation Ratio.................... 61 

Class E Overcollateralisation Ratio Test......61, 173 

Class E Regulation S Definitive Notes ............... 61 

Class E Regulation S Global Note...................... 61 

Class E Regulation S Notes ............................... 61 

Class E Rule 144A Definitive Notes .................. 61 

Class E Rule 144A Global Note......................... 62 

Class E Rule 144A Notes................................... 62 

Class E Scenario Loss Rate.............................. 171 

Class N Definitive Notes ................................... 62 

Class N Further Issue Notes........................62, 131 

Class N Global Notes ........................................ 62 

Class N Noteholders.......................................... 62 

Class N Notes..................................... 2, 11, 50, 62 

Class N Regulation S Definitive Notes............... 62 

Class N Regulation S Global Note ..................... 62 

Class N Regulation S Notes ............................... 62 

Class N Rule 144A Definitive Notes.................. 62 

Class N Rule 144A Global Note ........................ 62 

Class N Rule 144A Notes .................................. 62 

Class of Noteholders.......................................... 54 

Class of Notes ................................................... 54 

Clearing Systems................................ 96, 130, 135 

Clearstream, Luxembourg.............................3, 135 

CLO Securities.................................................. 62 

Code .................................................. 62, 200, 224 

Collateral .....................................................18, 62 

Collateral Acquisition Agreements..................... 62 

Collateral Administration Agreement................. 51 

Collateral Administrator ...............................10, 50 

Collateral Debt Securities ................................ 152 

Collateral Debt Security..................................... 63 

Collateral Enhancement Account ....................... 63 

Collateral Enhancement Security ....................... 63 

Collateral Management Agreement...............10, 50 

Collateral Management Fee ............................... 63 

Collateral Manager ...................................2, 10, 50 

Collateral Manager Termination Amount........... 63 

Collateral Quality Tests ..............................63, 166 

Collateral Tax Event.......................................... 63 

collecting agent ............................................... 212 

Collection Accounts .......................................... 64 

Commitment Fee .................................. 14, 64, 115 

Commitment Period......................................... 182 

Competent Authority ......................................... 26 

Conditions......................................................2, 64 

controlled foreign corporations ........................ 200 

Controlling Class............................................... 64 

Controlling Person........................................... 215 

conversion transaction ..................................... 200 

Coverage Test ................................................... 64 

Credit Improved Security................................... 64 

Credit Risk Security .......................................... 65 

Cumulative Sterling Defaults........................... 157 

Cumulative Sterling Realised Losses................ 157 

229

Cumulative Sterling Realised Recoveries ......... 157 

Currency Account.............................................. 65 

Current Pay Obligation ................................ 65, 68 

Current Portfolio.............................................. 171 

Custodian .......................................................... 50 

Custody Account ............................................... 66 

D 

debt financed property ..............................203, 207 

Decree............................................................... 49 

Defaulted Equity Security .................................. 66 

Defaulted Participation Security......................... 66 

Defaulted Security ............................................. 66 

Defaulted Synthetic Security.............................. 67 

Defaulting Party .......................................... 74, 92 

Deferred Interest.............................................. 112 

Deferred Interest Amounts ................................. 67 

Definitive Note.................................................. 67 

Definitive Notes ........................................ 24, 136 

Determination Date............................................ 67 

Direct DTC Participants................................... 138 

Direct Participants ........................................... 138 

Discount Collateral Debt Security ................ 67, 68 

Distribution ....................................................... 68 

Distribution Compliance Period ..................... 3, 24 

Drawing ............................................................ 68 

DTC ....................................................................3 

DTC Business Day .......................................... 139 

DTC Custodian................................................ 139 

DTC Participants ............................................. 138 

Due Date ........................................................... 68 

Due Period ........................................................ 68 

Dutch Ineligible Securities ................................. 68 

E 

Eastern Europe .................................................. 68 

Eligibility Criteria....................... 68, 152, 163, 174 

Eligible Floating Rate Note................................ 68 

Eligible Investments .......................................... 68 

Emerging Market Issuer..................................... 69 

Enforcement Notice ................................... 69, 123 

Equity Kicker .................................................... 69 

Equity Security.................................................. 69 

ERISA................................................69, 214, 224 

ERISA Plans.................................................... 214 

ERISA Restricted Note .....................216, 223, 225 

ERISA Restricted Notes................................... 215 

EURIBOR ......................................................... 69 

Euro ....................................................................8 

Euro Collateral Debt Security............................. 69 

Euro Drawings................................................... 69 

Euro Expense Account....................................... 69 

Euro Interest Proceeds ......................69, 70, 71, 72 

Euro Liquidity Payment Account ....................... 71 

Euro Payment Account ...................................... 71 

Euro Principal Proceeds ..........................71, 72, 95 

Euro Principal Reserve Account......................... 72 

Euro Unscheduled Principal Proceeds ................ 72 

Euro zone .................................................. 72, 114 

Euroclear......................................................3, 135 

Euroclear Pledge Agreement.............................. 51 

Euroclear Pledged Account...........................45, 69 

Event of Default ...........................................74, 92 

Event of Default Net Portfolio Collateral 

Balance............................................................ 72 

Excess Distribution.......................................... 204 

Exchange Act .................................................8, 73 

Exchange Date ................................................ 137 

Exchange Rate Agent ........................................ 50 

Exchanged Global Note ................................... 136 

Exempt Persons............................................... 1, 4 

Extraordinary Resolution ................................... 73 

F 

Fitch...............................................................2, 73 

Fitch Industry Category ................................... 157 

Fitch Rating.......................................... 73, 93, 176 

Fitch Rating Factor .......................................... 168 

Fitch Recovery Rate ........................................ 169 

Fitch Test Matrix............................................. 167 

Fitch Weighted Average Recovery Rate........... 168 

Foreign Taxable Investor ................................. 210 

Form-Approved Hedge...................................... 73 

Form-Approved Hedges .................................... 73 

Foundation ...................................................... 145 

FSA ................................................................ 147 

FSMA ............................................................. 218 

FTA ................................................................ 210 

fund .............................................................6, 219 

Further Issue Notes.....................................73, 131 

G 

GBP-LIBOR-BBA ............................................ 73 

German Disbursing Agent ............................... 208 

German Investor.............................................. 209 

Global Note....................................................... 73 

Global Notes ....................................................... 3 

H 

hedge .............................................................. 200 

Hedge Agreement.......................................73, 189 

Hedge Agreements ............................................ 73 

Hedge Counterparty.............................. 73, 74, 189 

Hedge Payment Amount.................................... 74 

Hedge Replacement Receipt .............................. 74 

Hedge Termination Receipt ............................... 74 

Hedge Transaction............................................. 74 

Hedge Transactions ......................................... 189 

HMRC .......................................................46, 211 

Holder............................................................. 211 

I 

IAF ................................................................. 147 

IFSRA............................................................2, 26 

Incentive Collateral Management Fee .........74, 101 

Incentive Management Fee Hurdle Rate............. 74 

230

Indirect DTC Participants................................. 138 

Indirect Participants ......................................... 138 

Initial Hedge Agreement.......................21, 74, 189 

Initial Hedge Counterparty........................3, 21, 51 

Initial Hedge Transaction................................... 21 

Initial Hedge Transactions ........................... 21, 74 

Initial Proceeds Account .................................... 74 

Initial Purchaser................................3, 51, 74, 217 

Initial Reinvestment OC Ratio ........................... 74 

Insolvency Law ............................................... 122 

Interest ............................................................ 209 

Interest Accrual Period....................................... 74 

Interest Amount................................................. 74 

Interest Collection Account................................ 75 

Interest Coverage Amount ................................. 75 

Interest Determination Date ....................... 77, 112 

Interest Proceeds................................................ 77 

Internal Rate of Return............................... 77, 104 

Investec ..............................................77, 147, 179 

investment ................................................... 6, 219 

Investment Company Act..................1, 2, 218, 223 

Investment Tax Act.................................... 49, 208 

Investment Tax Act Reporting 

Requirements................................................. 209 

InvG............................................................ 5, 219 

IPF .................................................................. 147 

Irish Paying Agent ............................................. 50 

Irish Stock Exchange ...........................................2 

ISDA............................................................... 189 

ISIN ................................................................ 226 

Issue Date.................................................... 10, 77 

Issue Date Spot Rate.................................... 13, 77 

Issuer........................................................2, 10, 77 

Issuer Dutch Account......................................... 77 

Issuer Event of Default .............................. 77, 121 

K 

Key Person ...................................................... 181 

Key Persons..................................................... 181 

L 

LIBOR .............................................................. 77 

Liquidity Drawing ............................................. 77 

Liquidity Facility..................................22, 77, 182 

Liquidity Facility Agreement ................22, 51, 182 

Liquidity Facility Provider ....................22, 51, 182 

Liquidity Limit .....................................22, 77, 182 

Liquidity Payment ............................................. 77 

Liquidity Payment Account................................ 77 

Liquidity Payment Accounts .............................. 77 

Long Dated Securities........................................ 77 

M 

Management Agreement ............................ 51, 144 

Managing Directors ........................................... 78 

Market Value..................................................... 78 

MARKIT........................................................... 78 

Matrix ............................................................... 78 

Maturity Date ...............................................16, 78 

Maximum Investment Amount .......................... 78 

Maximum Weighted Average Fitch Rating 

Factor Test..................................................... 168 

Measurement Date......................................78, 166 

Mezzanine Loan ................................................ 78 

Minimum Denomination.................................... 78 

Minimum Fitch Weighted Average 

Recovery Rate Test........................................ 168 

Minimum Weighted Average Spread ............... 169 

Minimum Weighted Average Spread Test........ 169 

Monthly Report ..........................................79, 185 

N 

Net Portfolio Collateral Balance ........................ 79 

non-eligible investments.................................. 109 

Non-Euro Collateral Debt Security .................... 79 

Non-Extension Drawing .................................. 183 

Non-Performing Security................................... 79 

Non-U.S. Holder ............................................. 199 

Note Interest Rate.............................................. 80 

Note Purchase Facility..................................... 190 

Noteholder Valuation Report ......................80, 187 

Noteholders....................................................... 80 

Noteholders Subject to the Investment Tax 

Act ................................................................ 209 

Notes.................................................. 2, 11, 50, 80 

Notice of Default............................................. 122 

O 

Obligor.............................................................. 80 

Offer ................................................................. 80 

Offering .............................................................. 7 

Offshore Transaction ....................................... 223 

OID................................................................. 202 

Outstanding....................................................... 80 

Overseas Securities Lender’s Agreement ........... 87 

over-the-counter-transaction ............. 208, 209, 210 

P 

Participants ..................................................... 138 

Participation ...............................................81, 176 

Participation Agreement .................................... 81 

Participations..................................................... 36 

passive foreign investment companies.............. 200 

paying agent.................................................... 212 

Paying Agents ................................................... 50 

Payment Date ...........................................2, 14, 81 

Payment Default................................................ 81 

Person ............................................................... 81 

PFIC ............................................................... 203 

PIK Security...................................................... 81 

Plan.................................................. 216, 223, 225 

Plan Asset Regulation...............................214, 222 

Plans ............................................................... 214 

PORTAL............................................................. 2 

Portfolio............................................................ 81 

pounds sterling .................................................... 8 

231

Presentation Date............................................... 81 

Principal Balance............................................... 82 

Principal Collection Account ............................. 82 

Principal Paying Agent ...................................... 50 

Principal Proceeds ............................................. 82 

Priorities of Payment ......................................... 82 

Priority Category Recovery Rate........................ 83 

Proceedings ............................................... 83, 132 

professional market party................................... 23 

Project Finance Loan ....................................... 158 

Proposed Portfolio ........................................... 171 

Prospectus ...........................................................1 

PTE................................................................. 214 

Q 

QEF ................................................................ 203 

QIB ................................................................... 83 

Qualified Institutional Buyer......... 1, 6, 23, 83, 223 

qualified portion .............................................. 205 

Qualified Purchaser ...................... 1, 6, 23, 83, 223 

Qualified Purchasers .......................................... 47 

Qualifying Country.................................... 83, 152 

Quotation Date .................................................. 83 

R 

Ramp-Up Period................................................ 83 

Rated Notes ........................................2, 11, 50, 83 

Rating Agencies ................................................ 83 

Rating Agency Confirmation ............................. 83 

Rating Requirement ........................................... 83 

Receiver .......................................................... 122 

Record Date............................................... 84, 120 

Recovery Percentage.......................................... 84 

Redemption Date............................................... 84 

Redemption Determination Date ................ 84, 117 

Redemption Notice ............................................ 84 

Redemption Price .............................................. 84 

Redemption Threshold Amount ......................... 85 

Reference Banks.............................................. 113 

Reference Obligation ......................................... 85 

Reference Obligations........................................ 35 

Reference Obligor........................................ 35, 85 

Register ....................................................... 85, 95 

Registrar............................................................ 50 

Regulation S...................................................... 85 

Regulation S Definitive Notes............................ 85 

Regulation S Global Note .......................3, 24, 135 

Regulation S Global Notes................................. 85 

Regulation S Notes ........................................ 2, 85 

Reinvestment Criteria ................................ 85, 162 

Reinvestment OC Ratio ..................................... 85 

Reinvestment OC Test ............................... 85, 174 

Reinvestment Period.................................. 85, 120 

Related Entities.................................................. 39 

Relevant Amount............................................... 86 

Relevant Class of Notes ................................... 135 

Relevant Date .................................................... 86 

Relevant Persons ............................................. 1, 5 

repay ................................................................. 86 

Repayment Date................................................ 86 

Replacement Collateral Manager ....................... 86 

Replacement Collateral Manager 

Subordinated Fee ............................................. 86 

Replacement Hedge Agreement......................... 86 

Replacement Rating Agency.............................. 83 

required period .............................................55, 56 

Resolutions ....................................................... 30 

RSA 421-B.......................................................... 4 

Rule 144A..................................................86, 223 

Rule 144A Definitive Notes............................... 86 

Rule 144A Global Note ..........................3, 24, 135 

Rule 144A Global Notes.................................... 87 

Rule 144A Notes ............................................2, 87 

S 

S&P ...............................................................2, 89 

S&P Minimum Average Recovery Rate........... 170 

S&P Minimum Weighted Average 

Recovery Rate Test........................................ 170 

S&P Quality Case............................................ 167 

S&P Rating .......................................... 89, 93, 176 

S&P Test Matrix ............................................. 167 

Sale Proceeds .................................................... 87 

SARB ............................................................. 147 

Screen Rate ................................................87, 113 

SEC .................................................................. 47 

Second Lien Loan.............................................. 87 

Secured Participation......................................... 87 

Secured Party .................................................... 87 

Securities Act ..............................1, 2, 87, 218, 223 

Securities Lending Account ............................... 87 

Securities Lending Agent................................... 87 

Securities Lending Agreement......................37, 87 

Securities Lending Collateral............................. 87 

Securities Lending Counterparty...................37, 87 

Selling Institution .............................................. 88 

Senior Administrative Expenses......................... 88 

Senior Coverage Test......................................... 88 

Senior Interest Coverage Ratio........................... 88 

Senior Interest Coverage Test .....................88, 173 

Senior Noteholders ............................................ 88 

Senior Notes....................................... 2, 11, 50, 88 

Senior Notes Redemption Method...................... 88 

Senior Overcollateralisation Ratio...................... 88 

Senior Overcollateralisation Ratio Test .......88, 173 

Senior Secured Loan.......................................... 88 

Senior Trustee Fees ........................................... 88 

Senior Unsecured Loan...................................... 88 

shortfall........................................................... 110 

Special Debt Security ........................................ 89 

Special Redemption....................................17, 120 

Special Redemption Amount ........................... 120 

Special Redemption Date................................. 120 

Spot Rate........................................................... 89 

Stabilising Manager......................................8, 217 

Stand-by Account.............................................. 89 

Stand-by Liquidity Account.................. 23, 89, 183 

Stated Maturity.................................................. 89 

232

Sterling................................................................8 

Sterling Accounts .............................................. 89 

Sterling Additional Collateral Account............... 89 

Sterling Collateral Debt Security........................ 89 

Sterling Drawings.............................................. 89 

Sterling Expense Account .................................. 89 

Sterling Funding Mismatch ................................ 89 

Sterling Interest Account.................................... 90 

Sterling Interest Proceeds............................. 90, 91 

Sterling Limit .................................................. 155 

Sterling Liquidity Payment Account................... 91 

Sterling Payment Account.................................. 91 

Sterling Principal Account ................................. 91 

Sterling Principal Proceeds ................................ 91 

Sterling Unscheduled Principal Proceeds............ 92 

straddle............................................................ 200 

Structured Finance Security ............................... 92 

Subordinated Administrative Expenses............... 92 

Subordinated Collateral Management Fee .......... 92 

Subordinated Hedge Termination Payment......... 92 

Subordinated Trustee Fees ................................. 93 

Subordinated Unsecured Loan............................ 93 

Subscription and Placement Agreement...... 51, 217 

synthetic security............................................. 200 

Synthetic Security.............................................. 93 

Synthetic Security Collateral.............................. 94 

Synthetic Security Obligor ................................. 94 

T 

TAGS.............................................................. 148 

TARGET Business Day ..................................... 94 

Target Date........................................................ 94 

Target Date Rating Downgrade.......................... 94 

Target Date Rating Requirement ...................... 151 

Target Date Rating Requirements....................... 94 

Target Par Amount ...............................18, 94, 150 

TARGET System............................................... 94 

Tax Considerations ............................................ 47 

Tax Event .......................................................... 94 

Telerate Page 248 .............................................. 55 

Termination Event ....................................... 74, 92 

TIN ................................................................. 207 

Total Commitments......................................12, 95 

Total Outstandings ............................................ 95 

Trading Gains.................................................... 95 

Transaction Documents ..................................... 95 

Transaction Specific Cash Flow Model ............ 143 

Transfer........................................................... 176 

Transfer Agents................................................. 50 

Transfers ........................................................... 36 

Trust Deed ...............................................2, 10, 50 

Trustee .....................................................2, 10, 50 

Trustee Fees ...................................................... 95 

U 

U.S. Holder ..................................................... 199 

U.S. Person ..................................................1, 223 

U.S. Persons...................................................... 23 

U.S. Related Person......................................... 207 

U.S. Resident .................................................. 223 

U.S. Residents................................................... 23 

UK interest...................................................... 212 

Underlying Instrument....................................... 95 

Undrawn Amount.............................................. 95 

Uninvested Proceeds ......................................... 95 

United States person ........................................ 222 

United States shareholder ................................ 206 

United States shareholders............................... 204 

Unscheduled Principal Proceeds ........................ 95 

US Paying Agent............................................... 50 

V 

VAT.................................................................. 95 

W 

Weighted Average Fitch Rating Factor ............ 168 

Weighted Average Life.................................... 169 

Weighted Average Life Test ............................ 169 

Weighted Average Spread ............................... 169 

WpPG ..........................................................6, 219 

233

REGISTERED OFFICE OF 

THE ISSUER 

Rivierstaete Building 

Amsteldijk 166 

1079 LH Amsterdam 

INITIAL PURCHASER 

Dresdner Bank AG London 

Branch 

P.O. Box 52715 

30 Gresham Street 

London EC2P 2XY 

TRUSTEE 

The Law Debenture Trust Corporation p.l.c. 

Fifth Floor 

100 Wood Street 

London EC2V 7EX 

REGISTRAR, US PAYING AGENT, TRANSFER 

AGENT AND CAPITAL COMMITMENT 

REGISTRAR 

HSBC Bank USA, N.A. 

452 Fifth Avenue 

New York, New York 10018 

COLLATERAL ADMINISTRATOR 

Law Debenture Asset Backed Solutions Limited 

Fifth Floor 

100 Wood Street 

London EC2V 7EX 

ACCOUNT BANK, CUSTODIAN, EXCHANGE 

RATE AGENT AND PRINCIPAL PAYING 

AGENT 

HSBC Bank plc 

8 Canada Square 

London E14 5HQ 

IRISH PAYING AGENT 

HSBC Institutional Trust Services (Ireland) 

Limited 

HSBC House 

Harcourt Centre 

Harcourt Street 

Dublin 2 

COLLATERAL MANAGER 

Investec Principal Finance, 

a business unit division of 

Investec Bank (UK) Ltd. 

2 Gresham Street 

London EC2V 7QP 

To the Initial Purchaser, the 

Trustee and the Collateral 

Administrator as to English and 

U.S. Law 

Cadwalader, Wickersham & 

Taft LLP 

265 Strand 

London WC2R 1BH 

LEGAL ADVISERS 

To the Collateral Manager as to 

English Law and U.S. Law 

Weil, Gotshal & Manges 

One South Place 

London EC2M 2WG 

IRISH LISTING AGENT 

NCB Stockbrokers Limited 

3 George’s Dock 

IFSC 

Dublin 1 

To the Initial Purchaser as to 

Dutch law 

Clifford Chance LLP 

Droogbak 1A 

1013 GE Amsterdam 

234

Gresham Capital CLO IV B.V. - Irish Stock Exchange

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